Zobrazeno 1 - 10
of 913
pro vyhledávání: '"Affine term structure model"'
Autor:
Janus, Jakub
Publikováno v:
Statistics in Transition. New Series. 23(1):153-171
Externí odkaz:
https://www.ceeol.com/search/article-detail?id=1037016
Autor:
Dewachter, Hans, Lyrio, Marco
Publikováno v:
Journal of Money, Credit and Banking, 2006 Feb 01. 38(1), 119-140.
Externí odkaz:
https://www.jstor.org/stable/3839071
Publikováno v:
Journal of Econometrics. 231:410-431
We assess the impact of news concerning recent Japanese monetary reforms on long-term inflation expectations using an arbitrage-free term structure model of nominal and real yields. Our model accounts for the value of deflation protection embedded in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::277030a4cecfac6457f2795323ac4b63
https://doi.org/10.1016/j.jeconom.2021.10.007
https://doi.org/10.1016/j.jeconom.2021.10.007
Autor:
Jakub Janus
Publikováno v:
Statistics in Transition New Series. 23:153-171
This paper provides a comparative evaluation of the behaviour of long-term sovereign yields in Czechia, Hungary and Poland from 2001 to 2019. An affine term structure model developed by Adrian, Crump and Moench (2013) is used as an empirical framewor
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a02ab9e293d8321069e7d08820a93dbd
https://doi.org/10.2478/stattrans-2022-0009
https://doi.org/10.2478/stattrans-2022-0009
Akademický článek
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Publikováno v:
Asia-Pacific Journal of Financial Studies. 50:659-689
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::76e2746e3e157d863deff5be609b0b8e
https://doi.org/10.1111/ajfs.12356
https://doi.org/10.1111/ajfs.12356
Publikováno v:
Journal of Monetary Economics. 124:48-65
Monetary policy moves the yield curve. What is the economic interpretation of such moves and what are their macroeconomic consequences? Applying an affine term structure model to high-frequency yield curve movements around FOMC announcements, we shed
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5456a1db4df29f43b6532cbcc1c2035e
https://doi.org/10.1016/j.jmoneco.2021.07.009
https://doi.org/10.1016/j.jmoneco.2021.07.009
Publikováno v:
Applied Economics. 53:6721-6738
We employ an affine term structure model with no-arbitrage restrictions and unspanned risk factors to analyse the global and domestic determinants of bond risk premia in four major emerging markets...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7f5343c5925c49ce8dc2e505f3f4afa4
https://doi.org/10.1080/00036846.2021.1937505
https://doi.org/10.1080/00036846.2021.1937505
Publikováno v:
Mathematics and Financial Economics. 16:239-266
We propose an affine term structure model that allows for tenor-dependence of yield curves and thus for different risk categories in interbank rates, an important feature of post-crisis interest rate markets. The model has a Nelson–Siegel factor lo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8dba9fcacfed4bbeb8bb0d66d5f9b87b
https://doi.org/10.1007/s11579-021-00308-y
https://doi.org/10.1007/s11579-021-00308-y
Autor:
Januj Juneja
Publikováno v:
Computational Economics. 60:173-220
This paper conducts a computational analysis of several specifications of the affine term structure model (ATSM) to explore the tradeoff between estimation when parameter restrictions are imposed and computational burdens are simplified and estimatio
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ee3c34aa6d1d1896612e7d170ab5d7d3
https://doi.org/10.1007/s10614-021-10146-1
https://doi.org/10.1007/s10614-021-10146-1