Term Structure Analysis with Big Data:One-Step Estimation Using Bond Prices

Autor: Martin M. Andreasen, Glenn D. Rudebusch, Jens H. E. Christensen

Publikováno v: Andreasen, M M, Christensen, J H E & Rudebusch, G D 2019, ' Term Structure Analysis with Big Data : One-Step Estimation Using Bond Prices ', Journal of Econometrics, vol. 212, no. 1, pp. 26-46 . https://doi.org/10.1016/j.jeconom.2019.04.019

Nearly all studies that analyze the term structure of interest rates take a two-step approach. First, actual bond prices are summarized by interpolated synthetic zero-coupon yields, and second, some of these yields are used as the source data for fur

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::97e2d74c2ab81a06fd5d3e5895b7c599
https://pure.au.dk/ws/files/209663285/Term_Structure_Analysis_with_Big_Data_AM_2019.pdf

Term Structure Analysis with Big Data

Autor: Andreasen, Martin Møller, Christensen, Jens H.E., Rudebusch, Glenn D.

Publikováno v: Andreasen, M M, Christensen, J H E & Rudebusch, G D 2017 ' Term Structure Analysis with Big Data ' Institut for Økonomi, Aarhus Universitet, Aarhus .

Analysis of the term structure of interest rates almost always takes a two-step approach. First, actual bond prices are summarized by interpolated synthetic zero-coupon yields, and second, a small set of these yields are used as the source data for f

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::41b5b54f326c15feca892e33ebf2a51e
https://pure.au.dk/ws/files/117214681/rp17_31.pdf

What are Green Bonds?

Autor: World Bank

The explosive growth of green bonds in the capital markets is increasingly attracting attention from investors. This surge in interest has created a demand for accessible information on the green bond market. This primer was created in response to th

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od______2456::c4614e237fde9b4985368aa1db366662
http://documents.worldbank.org/curated/en/2015/09/25082410/green-bonds

Interest Rate Risk Analysis by Principal Component Method

Autor: Myšičková, Ivana

Presented study analyzes interest rate risk associated with the possession of given fixed coupon bond. In the first chapter, we define some of the basic concepts and provide description of available data. These are historical data on spot interest ra

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::04b4f2dd7f2ab575ce817b7be8f10c97
http://www.nusl.cz/ntk/nusl-490958

Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.