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Displaying results 1 to 16 of 16.

  1. A constrained dynamic nelson-siegel model for monetary policy analysis
    Published: [2024]
    Publisher:  BI Norwegian Business School, Centre for Applied Macro - Petroleum economics (CAMP), Oslo

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    VS 321
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    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 11250/3153617
    Series: CAMP working paper series ; no. 2024, 6
    Subjects: Dynamic Nelson-Siegel model; Term Structure; Yield curve; Monetary Policy; Macroeconomic Analysis; Bayesian Analysis
    Scope: 1 Online-Ressource (circa 38 Seiten), Illustrationen
  2. Disagreement about the term structure of inflation expectations
    Published: September 16, 2024
    Publisher:  Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, Washington, D.C.

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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    VS 412
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    Language: English
    Media type: Book
    Format: Online
    Series: Finance and economics discussion series ; 2024, 084
    Subjects: Inflation Expectations; Term Structure; Disagreement; Monetary Policy
    Scope: 1 Online-Ressource (circa 84 Seiten), Illustrationen
  3. Introducing global term structure in a risk parity framework
    Published: [2017]
    Publisher:  Université de Paris Ouest Nanterre La Défense, Nanterre

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    VS 334 (2017,23)
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Working paper / EconomiX ; 2017, 23
    Subjects: Equal Risk Contribution; Yield Curve; Risk Parity; Smart Beta; Risk Measure; Risk-Based Indexing; Sovereign Bonds; Term Structure
    Scope: 1 Online-Ressource (circa 28 Seiten), Illustrationen
  4. Consumption in asset returns
    Published: [2020]
    Publisher:  [LSE Financial Markets Group], [London]

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: [FMG discussion paper] ; [DP 790]
    SRC discussion paper ; no 92 (January 2020)
    Subjects: Consumption Dynamics; Asset Returns; Consumption-Based Asset Pricing; Term Structure
    Scope: 1 Online-Ressource (circa 54 Seiten), Illustrationen
  5. Theoretical asset pricing under behavioral decision making
    Published: [2022]
    Publisher:  Tilburg University, Tilburg

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    VS 181
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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    ISBN: 9789056686772
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    Series: [Dissertation series] / [Center for Economic Research, Tilburg University] ; [nr. 675 (2022)]
    Subjects: Behavioral Decision Making; Investors; Limited Attention; Asset Pricing; Probability Weighting; Equity Risk; Investor Behavior; Behavioral Finance; Risk Premia; Term Structure; Skewness; Trading Volume; Random Variables; Finance; Risk-Averse; Financial Markets
    Scope: 1 Online-Ressource (circa 163 Seiten), Illustrationen
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    Dissertation, Tilburg University, 2022

  6. The excess sensitivity of long-term interest rates and central bank credibility
    Published: 2020. 12
    Publisher:  Bank of Korea, Seoul, Korea

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    VS 629
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: BOK working paper ; no. 2020, 29
    Subjects: Monetary Policy; Credibility; Term Structure; Excess Volatility
    Scope: 1 Online-Ressource (circa 57 Seiten), Illustrationen
  7. Essays in empirical finance
    Published: [2023]
    Publisher:  Tilburg University, Tilburg

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    Source: Union catalogues
    Language: English
    Media type: Dissertation
    Format: Online
    ISBN: 9789056687120
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    Series: [Dissertation series] / [Center for Economic Research, Tilburg University] ; [nr. 710 (2023)]
    Subjects: Empirical Finance; Term Structure; Corporate Bonds; Risk Premia; Equity; Maturity; Central Bank Intervention; Bank Runs; Equity Risk; Unconventional Monetary Policy; Fragility; European Central Bank; Bank Lending; Asset Pricing Models; Risk Premium; Severity; Financial Sector; Banking Sector; Methodology
    Scope: 1 Online-Ressource (circa 173 Seiten), Illustrationen
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    Dissertation, Tilburg University, 2023

  8. Consumption in asset returns
    Published: [2020]
    Publisher:  Systemic Risk Centre, The London School of Economics and Political Science, London

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: SRC discussion paper ; no 92 (January 2020)
    Subjects: Consumption Dynamics; Asset Returns; Consumption-Based Asset Pricing; Term Structure
    Scope: 1 Online-Ressource (circa 54 Seiten)
  9. Noncausal affine processes with applications to derivative pricing
    Published: January 2019
    Publisher:  Center for Research in Economics and Statistics, [Palaiseau]

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    VS 647
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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: Série des documents de travail / Center for Research in Economics and Statistics ; no. 2019, 02
    Subjects: Derivative Pricing; Term Structure; Affine Process; NoncausalProcess; Speculative Bubble; Reverse Time
    Scope: 1 Online-Ressource (circa 46 Seiten), Illustrationen
  10. Modeling and forecasting the co-movement of international yield curve drivers
    Published: 2019

    Universitätsbibliothek Braunschweig
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    Staats- und Universitätsbibliothek Bremen
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    Universitätsbibliothek Clausthal
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    Fachhochschule Erfurt, Hochschulbibliothek
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    Niedersächsische Staats- und Universitätsbibliothek Göttingen
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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    Staats- und Universitätsbibliothek Hamburg Carl von Ossietzky
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    Technische Universität Hamburg, Universitätsbibliothek
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    Bibliothek der Hochschule Hannover
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    Bibliothek im Kurt-Schwitters-Forum
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Zentrale Hochschulbibliothek Lübeck
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    Leuphana Universität Lüneburg, Medien- und Informationszentrum, Universitätsbibliothek
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    Hochschule Magdeburg-Stendal, Hochschulbibliothek
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    Hochschule Osnabrück, Bibliothek Campus Westerberg
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    Hochschule Magdeburg-Stendal, Standort Stendal, Bibliothek
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    UB Weimar
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    Source: Union catalogues
    Contributor: Mittnik, Stefan (AkademischeR BetreuerIn)
    Language: English
    Media type: Dissertation
    Format: Online
    Other identifier:
    Subjects: Yield Curve Modeling and Forecasting; Term Structure; Interest Rate Risk; International Yields and Linkages; Cross-Country Co-Movement; Unit Root; Cross-Correlation; Granger-Causality; Cointegration; Principal Components Analysis; Structural Breaks; ECB and Federal Reserve Monetary Policy; State-Space Modeling and Forecasting; Kalman Filter
    Scope: 1 Online-Ressource (circa 283 Seiten), Illustrationen
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    Dissertation, Ludwig-Maximilians-Universität, 2019

  11. Forecasting the yield curve: the role of additional and timevarying decay parameters, conditional heteroscedasticity, and macro-economic factors
    Published: [2023]
    Publisher:  Centre for Econometric Analysis, Bayes Business School, London

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Series: CEA@Bayes working paper series ; WP-CEA-2023, 07
    Subjects: Dynamic Nelson-Siegel-Svensson model; Time-varying decay parameter; Term Structure; Extended Kalman filter
    Scope: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  12. Machine learning and the yield curve
    tree-based macroeconomic regime switching
    Published: October 8, 2024
    Publisher:  Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, Philadelphia, PA

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Edition: This Draft: October 8, 2024
    Series: PIER working paper ; 24, 028
    Subjects: Decision Tree; Macro-Finance; Term Structure; Regime Switching; Dynamic Nelson-Siegel Model; Bayesian Estimation
    Scope: 1 Online-Ressource (circa 42 Seiten), Illustrationen
  13. Estimación de la estructura temporal de las tasas de interés
    el caso Venezolano
    Published: 2011
    Publisher:  Gerencia de Comunicaciones Institucionales, BCV, Caracas

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    Language: Spanish
    Media type: Book
    Format: Online
    Series: Serie Documentos de trabajo / BCV, Banco Central de Venezuela ; 119
    Colección Economía y finanzas
    Subjects: Zinsstruktur; Rentenmarkt; Schätzung; Venezuela; Term Structure; yield curve; interest rates; affine term structure; Venezuelan bond market; Nelson-Siegel model; Svensson model; Vasicek model; investors’ expectations
    Scope: Online-Ressource, graph. Darst.
    Notes:

    Parallelt.: Estimation of the term structure of interest rates

    Zsfassungen in engl. und span. Sprache

  14. Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach
    Published: 2008
    Publisher:  Univ.-Bibliothek Frankfurt am Main, Frankfurt am Main

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    Language: English
    Media type: Book
    Format: Online
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    Series: Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,27
    Subjects: Rentenmarkt; Kapitalertrag; Zinsstruktur; Internationaler Kreditmarkt; :z Geschichte 1985-2005; Zinsertragskurve
    Other subjects: (stw)1985-2005; (stw)Rentenmarkt; (stw)Kapitaleinkommen; (stw)Zinsstruktur; (stw)Internationaler Finanzmarkt; (stw)Deutschland; (stw)Japan; (stw)Großbritannien; (stw)USA; Term Structure; Interest Rate; Dynamic Factor Model; Global Yield; World Yield; Bond Market; Arbeitspapier; Graue Literatur
    Scope: Online-Ressource
  15. The term structure of equity and variance risk premia
    Published: April 23, 2018
    Publisher:  Swiss Finance Institute, Geneva

    We study the term structure of variance swaps, equity and variance risk premia. A model-free analysis reveals a significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure against... more

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    Helmut-Schmidt-Universität, Universität der Bundeswehr Hamburg, Universitätsbibliothek
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Keine Speicherung
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    We study the term structure of variance swaps, equity and variance risk premia. A model-free analysis reveals a significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure against volatility risk increases after a market drop. This effect is stronger for short horizons and more persistent for long horizons. During the financial crisis investors demanded large risk premia to hold equities but the risk premia largely depended and strongly decreased with the holding horizon. The term structure of equity and variance risk premia responds differently to various economic indicators

     

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    Series: Research paper series / Swiss Finance Institute ; no 18, 37
    Swiss Finance Institute Research Paper ; No. 18-37
    Subjects: Variance Swap; Stochastic Volatility; Likelihood Approximation; Term Structure; Equity Risk Premium; Variance Risk Premium
    Scope: 1 Online-Ressource (circa 64 Seiten), Illustrationen
  16. If deficits are not the culprit, what determines Indian interest rates?
    an evaluation using the maximum entropy bootstrap method
    Published: 2014
    Publisher:  Levy Economics Inst., Annandale-on-Hudson, NY

    This paper challenges two clichés that have dominated the macroeconometric debates in India. One relates to the neoclassical view that deficits are detrimental to growth, as they increase the rate of interest, and in turn displace the... more

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    This paper challenges two clichés that have dominated the macroeconometric debates in India. One relates to the neoclassical view that deficits are detrimental to growth, as they increase the rate of interest, and in turn displace the interest-rate-sensitive components of private investment. The second relates to the assumption of "stationarity" - which has dominated the statistical inference in time-series econometrics for a long time - as well as the emphasis on unit root-type testing, which involves detrending, or differencing, of the series to achieve stationarity in time-series econometric models. The paper examines the determinants of rates of interest in India for the periods 1980-81 and 2011-12, using the maximum entropy bootstrap (Meboot) methodology proposed in Vinod 1985 and 2004 (and developed extensively in Vinod 2006, Vinod and Lopez-de-Lacalle 2009, and Vinod 2010 and 2013). The practical appeal of Meboot is that it does not necessitate all pretests, such as structural change and unit root-type testing, which involve detrending the series to achieve stationarity, which in turn is problematic for evolutionary short time series. It also solves problems related to situations where stationarity assumptions are difficult to verify - for instance, in mixtures of I(0) and nonstationary I(d) series, where the order of integration can be different for different series. [...]

     

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    Source: Union catalogues
    Language: English
    Media type: Book
    Format: Online
    Other identifier:
    hdl: 10419/110005
    Series: Working paper / Levy Economics Institute ; 811
    Subjects: Bootstrapping; Fiscal Deficit; Interest Rates; Maximum Entropy; Term Structure
    Scope: Online-Ressource (31 S.), graph. Darst.