Zobrazeno 1 - 10
of 24
pro vyhledávání: '"Olesya V. Grishchenko"'
Publikováno v:
Journal of Finance and Data Science, Vol 8, Iss , Pp 255-295 (2022)
We find that interest rate variance risk premium (IRVRP) — the difference between implied and realized variances of interest rates — is a strong predictor of U.S. Treasury bond returns of maturities ranging between one and ten years for return ho
Externí odkaz:
https://doaj.org/article/f7f08a0e0f794d18a3c871d1897ffb2a
Publikováno v:
Journal of Finance and Data Science, Vol 6, Iss , Pp 49-85 (2020)
We construct the French nominal yield curve using Svensson33 methodology and all available public data of French nominal government debt securities—Obligations Assimilables du Trésor (OATs). Our sample period starts in October 1987 and ends in Apr
Externí odkaz:
https://doaj.org/article/3b7fa57069ed46008fccaa3115034a51
Publikováno v:
The Journal of Finance and Data Science. 8:255-295
Bond returns are time-varying and predictable. What economic forces drive this variation? To answer this long-standing question, we propose a consumption-based model with recursive preferences, long-run risks, and inflation non-neutrality. Our model
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b52d91c9ad5a0dadae975ccf7b7fa4f6
https://doi.org/10.1016/j.jfds.2022.09.001
https://doi.org/10.1016/j.jfds.2022.09.001
Publikováno v:
Journal of Money, Credit and Banking. 51:1053-1096
We use several U.S. and euro‐area surveys of professional forecasters to estimate a dynamic factor model of inflation featuring time‐varying uncertainty. We obtain survey‐consistent distributions of future inflation at any horizon, both in the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5f404d8fa9942081699f9e0d70a9b9f2
https://doi.org/10.1111/jmcb.12622
https://doi.org/10.1111/jmcb.12622
Autor:
Danilo Cascaldi-Garcia, Cisil Sarisoy, Juan-Miguel Londono-Yarce, John H. Rogers, Bo Sun, Deepa Datta, Thiago R.T. Ferreira, Olesya V. Grishchenko, Mohammad R. Jahan-Parvar, Francesca Loria, Sai Ma, Marius Rodriguez, Ilknur Zer
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cf94be1c6a7df56c5a2e93c3a2562bc1
https://doi.org/10.2139/ssrn.3894581
https://doi.org/10.2139/ssrn.3894581
Publikováno v:
The Journal of Finance and Data Science
The Journal of Finance and Data Science, 2020, 6, pp.49-85. ⟨10.1016/j.jfds.2020.07.001⟩
The Journal of Finance and Data Science, KeAi Publishing, 2020, 6, pp.49-85. ⟨10.1016/j.jfds.2020.07.001⟩
Journal of Finance and Data Science, Vol 6, Iss, Pp 49-85 (2020)
The Journal of Finance and Data Science, 2020, 6, pp.49-85. ⟨10.1016/j.jfds.2020.07.001⟩
The Journal of Finance and Data Science, KeAi Publishing, 2020, 6, pp.49-85. ⟨10.1016/j.jfds.2020.07.001⟩
Journal of Finance and Data Science, Vol 6, Iss, Pp 49-85 (2020)
International audience; We construct the French nominal yield curve using Svensson33 methodology and all available public data of French nominal government debt securities—Obligations Assimilables du Trésor (OATs). Our sample period starts in Octo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ffb6cca5d77aa95554ae10e15c9afd2a
https://shs.hal.science/halshs-02980563/file/1-s2.0-S240591882030012X-main.pdf
https://shs.hal.science/halshs-02980563/file/1-s2.0-S240591882030012X-main.pdf
Autor:
Ilknur Zer, Deepa Dhume Datta, Juan M. Londono, Francesca Loria, Danilo Cascaldi-Garcia, John H. Rogers, Mohammad R. Jahan-Parvar, Sai Ma, Thiago Revil T. Ferreira, Cisil Sarisoy, Marius Rodriguez, Olesya V. Grishchenko
Publikováno v:
International Finance Discussion Paper. 2020
Researchers, policymakers, and market participants have become increasingly focused on the effects of uncertainty and risk on financial market and economic outcomes. This paper provides a comprehensive survey of the many existing measures of risk, un
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d7d97958539160516dd812233f1a1d80
https://doi.org/10.17016/ifdp.2020.1294
https://doi.org/10.17016/ifdp.2020.1294
Publikováno v:
International Journal of Theoretical and Applied Finance
International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2020, 23 (3), ⟨10.1142/S0219024920500181⟩
International Journal of Theoretical and Applied Finance, World Scientific Publishing, 2020, 23 (3), ⟨10.1142/S0219024920500181⟩
We propose a general, very fast method to quickly approximate the solution of a parabolic Partial Differential Equation (PDEs) with explicit formulas. Our method also provides equaly fast approximations of the derivatives of the solution, which is a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ce2355d83f99f41b3530d4b3b541289d
http://arxiv.org/abs/1812.09904
http://arxiv.org/abs/1812.09904
Publikováno v:
FEDS Notes. 2016
In this note, we examine the theoretical determinants of one important component of inflation compensation, the inflation risk premium, and argue that a secular decline in the inflation risk premium may be responsible for a substantial portion of the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::868903dcda55bb43e928b5f147d9fc92
https://doi.org/10.17016/2380-7172.1720
https://doi.org/10.17016/2380-7172.1720
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::17c47f2bb072a1aedc0b0815d601f83a
https://doi.org/10.2139/ssrn.2787225
https://doi.org/10.2139/ssrn.2787225