Výsledky vyhledávání - "Pesaran, Bahram"

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across ma

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Modelling Volatilities and Conditional Correlations in Futures Markets with a Multivariate t Distribution

Autor: Pesaran, Bahram, Pesaran, M. Hashem

This paper considers a multivariate t version of the Gaussian dynamic conditional correlation (DCC) model proposed by Engle (2002), and suggests the use of devolatized returns computed as returns standardized by realized volatilities rather than by G

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An assessment of the relative importance of real interest rates, inflation and term premia in determining the prices of real and nominal UK bonds

Autor: Pesaran, Bahram, Barr, David

This paper uses a dynamic accounting identity developed by Campbell to decompose movements in bond prices into elements due to changes in real interest rates, expected term premia and expected inflation. This decomposition is applied to UK short and

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http://www.bankofengland.co.uk/archive/Documents/historicpubs/workingpapers/1995/wp32.pdf

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