Results 71 to 80 of about 777 (100)
Reverse Engineering the Yield Curve [PDF]
Prices of riskfree bonds in any arbitrage-free environment are governed by a pricing kernel: given a kernel, we can compute prices of bonds of any maturity we like.
David K. Backus, Stanley E. Zin
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Estimating a Risky Term Structure of Uruguayan Sovereign Bonds. [PDF]
Based on a joint three – factor a¢ ne model, we estimate the term structure of interest rates and default spreads for Uruguay using the reduced - form approach developed by Du¢ e and Singleton.
Gabriel Katz, Serafín Frache
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Measuring Financial Cash Flow and Term Structure Dynamics [PDF]
Financial turbulence is a phenomenon occurring in anti - persistent markets. In contrast, financial crises occur in persistent markets. A relationship can be established between these two extreme phenomena of long term market dependence and the older ...
CORNELIS A. LOS
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Term Structure Dynamics in Theory and Reality [PDF]
, 2002 This paper is a critical survey of models designed for pricing fixed income securities and their associated term structures of market yields. Our primary focus is on the interplay between the theoretical specification of dynamic term structure models and
Dai, Qiang, Singleton, Kenneth
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Financial Market Functioning and Monetary Policy: Japanfs Experience [PDF]
This paper reviews the financial market functioning under the zero interest rate policy (ZIRP) and the subsequent quantitative monetary easing policy (QMEP) conducted by the Bank of Japan (BOJ).
Naohiko Baba
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A Markovian Defaultable Term Structure Model with State Dependent Volatilities [PDF]
The defaultable forward rate is modeled as a jump diffusion process within the Schonbucher (2000, 2003) general Heath, jarrow and Morton (1992) framework where jumps in the defaultable term structure f d(t, T) cause jumps and defaults to the defaultable ...
Carl Chiarella +2 more
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Modeling long-range dependent Gaussian processes with application in continuous-time financial models [PDF]
This paper considers a class of nonstationary Gaussian processes with possible long-range dependence (LRD) and intermittency. The author proposes a new estimation method to simultaneously estimate both the LRD and intermittency parameter.
Gao, Jiti
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Testing Linearity in Term Structures [PDF]
Recent empirical studies suggests that affine models, a popular framework to analyse term structures of interest rates, are misspecified. This evidence is mainly based on time series properties of the data.
Peroni, Chiara
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Mean-Variance Cointegration and the Expectations Hypothesis [PDF]
The present paper sheds further light on a well-known (alleged) violation of the expec- tations hypothesis of the term structure (EHT) - the frequent finding of unit roots in interest rate spreads.
Enzo Weber, Till Strohsal
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Macroeconomic Determinants of the Term Structure of Corporate Spreads [PDF]
We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. Structural shocks are identified by a New-Keynesian model. Treasury bonds are priced in an affine model with time-varying risk premia.
Jun Yang
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