Results 11 to 20 of about 1,488,092 (350)
Reconstructing the Yield Curve [PDF]
SSRN Electronic Journal, 2018 Abstract The constant maturity zero-coupon yield curve for the US Treasuries is one of the most studied datasets. We construct a new yield curve using a non-parametric kernel-smoothing method with a novel adaptive bandwidth specifically designed to fit the Treasury yields.
Yan Liu, Jing Cynthia Wu
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Treatment of Missing Market Data: Case of bond Yield Curve Estimation
Финансы: теория и практика, 2023 Missing observations in market data is a frequent problem in financial studies. The problem of missing data is often overlooked in practice. Missing data is mostly treated using ad hoc methods or just ignored.
M. S. Makushkin, V. A. Lapshin
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Ab initio yield curve dynamics [PDF]
, 2005 We derive an equation of motion for interest-rate yield curves by applying a minimum Fisher information variational approach to the implied probability density. By construction, solutions to the equation of motion recover observed bond prices.
D'Anna, Joseph L. +2 more
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Yield Curve Models with Regime Changes: An Analysis for the Brazilian Interest Rate Market
Mathematics, 2023 This study examines the effectiveness of various specifications of the dynamic Nelson–Siegel term structure model in analyzing the term structure of Brazilian interbank deposits.
Renata Tavanielli, Márcio Laurini
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CONSISTENT YIELD CURVE PREDICTION
ASTIN Bulletin, 2016 AbstractWe present an arbitrage-free non-parametric yield curve prediction model which takes the full discretized yield curve data as input state variable. Absence of arbitrage is a particularly important model feature for prediction models in case of highly correlated data as, for instance, interest rates.
Teichmann, Josef, Wüthrich, Mario V.
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Modelling Counterparty Credit Risk in Czech Interest Rate Swaps
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2017 According to the Basel Committee’s estimate, three quarters of counterparty credit risk losses during the financial crisis in 2008 originate from credit valuation adjustment’s losses and not from actual defaults.
Lenka Křivánková, Silvie Zlatošová
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Macroeconomic models and the yield curve: An assessment of the fit [PDF]
, 2010 Many have questioned the empirical relevance of the Calvo-Yun model. This paper adds a term structure to three widely studied macroeconomic models (Calvo-Yun, hybrid and Svensson).
Chadha, Jagjit S, Holly, Sean
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Naše Gospodarstvo, 2016 Understanding the relationship between interest rates and term to maturity of securities is a prerequisite for developing financial theory and evaluating whether it holds up in the real world; therefore, such an understanding lies at the heart of ...
Lorenčič Eva
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, 1990 This paper provides a brief survey of the relationship between the yield curve and future changes in interest rates and inflation. The expectations hypothesis of the term structure indicates .that when the yield curve is upward sloping, future short-term and long-term interest rates are expected to rise.
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The yield curve as a leading indicator of recession: Austrian economics insights [PDF]
PanoeconomicusThis is a heterodox review on macroeconomics according to the Austrian Economics. The Austrian business cycle theory explains the origin of boombust cycles based on the difference between natural interest rates and banking rates, which comes from the ...
Alonso-Neira Miguel Ángel +1 more
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