Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Interest Rate Future"'
Autor:
Yang, Alex
An interest rate future option gives the holder the right but not the obligation to buy or sell an interest rate future at a specified price on a specified date. Option on Eurodollar futures is a European type of call or put option on the Eurodollar
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7c369b089446cb643b44e3fbbd3646ff
Autor:
Ricardo Laborda, Alejandro Balbás
Publikováno v:
The Journal of Fixed Income. 28:61-73
This article verifies the existence of diversification gains from considering the “quality option asset strategy,” which adds the portfolio replicating the interest rate future quality option, as proposed by Balbas and Reichardt (2010), and a por
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::33697ab14d10e46afc86dcbed8fa02c2
https://doi.org/10.3905/jfi.2018.28.1.061
https://doi.org/10.3905/jfi.2018.28.1.061
Autor:
Reuven Glick, Sylvain Leduc
Publikováno v:
Federal Reserve Bank of San Francisco, Working Paper Series. :01-43
We examine the effects of unconventional monetary policy surprises on the value of the dollar using high-frequency intraday data and contrast them with the effects of conventional policy tools. Identifying monetary policy surprises from changes in in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::18aa66c8d58c28b5696e928df88e0e09
https://doi.org/10.24148/wp2015-18
https://doi.org/10.24148/wp2015-18
Publikováno v:
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname
instname
This paper verifies the existence of diversification gains from considering the "quality option asset strategy", which adds the portfolio replicating the interest rate future quality option, as proposed by Balbás and Reichardt (2010), and a portfoli
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::c5e2202cecd099b138581f2baaeb13cd
http://hdl.handle.net/10016/24859
http://hdl.handle.net/10016/24859
Publikováno v:
Caldeira, J F, Moura, G V, Santos, A & Tourrucôo, F 2016, ' Forecasting the yield curve with the arbitrage-free dynamic Nelson--Siegel model : Brazilian evidence ', EconomiA, vol. 17, no. 2, pp. 221-237 . https://doi.org/10.1016/j.econ.2016.06.003
EconomiA, Vol 17, Iss 2, Pp 221-237 (2016)
EconomiA, Vol 17, Iss 2, Pp 221-237 (2016)
We assess the extent to which the imposition of a no-arbitrage restriction on the dynamic Nelson–Siegel model helps obtaining more accurate forecasts of the term structure. For that purpose, we provide an empirical application based on a large pane
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::35e49cddb676ec2323d3d645a701e37e
https://hdl.handle.net/20.500.11820/6f753b0a-6f81-4124-8d7c-a708dbeab434
https://hdl.handle.net/20.500.11820/6f753b0a-6f81-4124-8d7c-a708dbeab434
Publikováno v:
Revista de Administração de Empresas, Volume: 39, Issue: 4, Pages: 60-69, Published: DEC 1999
Revista de Administração de Empresas v.39 n.4 1999
Revista de Administração de Empresas
Fundação Getulio Vargas (FGV)
instacron:FGV
Revista de Administração de Empresas v.39 n.4 1999
Revista de Administração de Empresas
Fundação Getulio Vargas (FGV)
instacron:FGV
Estratégias de hedge para portfólios de renda fixa são comumente baseadas na duration. Esse conceito foi desenvolvido tendo como pressuposto que alterações nas taxas de juros serão constantes para toda a estrutura a termo da yield curve, ou sej
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::89d2c2e0237557e14a2c3a6152e9f6e3
https://doi.org/10.1590/s0034-75901999000400007
https://doi.org/10.1590/s0034-75901999000400007
Publikováno v:
SSRN Electronic Journal.
We examine the statistical accuracy and economic value of modelling and forecasting the term structure of interest rates using forecast combinations. We adopt five alternative methods to combine point forecasts from several univariate and multivariat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4fc09c73fc2e8500908a9e2f8712ff97
https://doi.org/10.2139/ssrn.2311733
https://doi.org/10.2139/ssrn.2311733
Autor:
Vidovič, Cirila
Publikováno v:
Maribor
Zaščita pred tveganjem je investicija, katere namen je zmanjšanje oziroma izločitev tveganja iz osnovne investicije. Hedgarji uporabljajo obrestne derivate za zmanjševanje tveganja potencialnih izgub, ki izhajajo iz prihodnjih premikov tržnih s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1857::91f70383b618b8679bd8004a0f0ca94e
https://plus.si.cobiss.net/opac7/bib/9873180?lang=sl
https://plus.si.cobiss.net/opac7/bib/9873180?lang=sl
Many practitioners use technical trading in derivatives markets, especially futures. Academic researchers, by contrast, consider “charting” to be without merit because it would violate the principle of market efficiency with respect to publicly a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f3459506bf342e64b3f23b5ca26dd195
https://opus.bibliothek.uni-augsburg.de/opus4/frontdoor/index/index/docId/35176
https://opus.bibliothek.uni-augsburg.de/opus4/frontdoor/index/index/docId/35176
Publikováno v:
Capital Market Instruments ISBN: 9781349524266
The market in short-term interest-rate derivatives is large and liquid, and the instruments involved are used for a variety of purposes. Here we review the two main contracts used in money markets trading, the short-term interest rate future and the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::51ecdcf9abce5c8f27a8459a313de729
https://doi.org/10.1057/9780230508989_14
https://doi.org/10.1057/9780230508989_14