Zobrazeno 1 - 10
of 70
pro vyhledávání: '"Term structure of interest rate"'
Publikováno v:
Heliyon, Vol 10, Iss 9, Pp e30206- (2024)
This study's principal mathematical deduction exploits the importance of the specification of long-term equilibrium level in the mean-reversion short-term interest rate model—such as the CKLS (Chan, Karolyi, Longstaff, and Sanders) model—to descr
Externí odkaz:
https://doaj.org/article/7f6ca33dbf924481a4271b1d8f8ee732
Autor:
Xiangbin Qin, Yuanpeng Zhu
Publikováno v:
AIMS Mathematics, Vol 9, Iss 1, Pp 240-256 (2024)
Traditional theories of term structure of interest rate consist of four major classical theories, including Pure Expectation Theory, Liquidity Preference Theory, Preferred Habitat Theory and Market Segmentation Theory. However, they cannot be well in
Externí odkaz:
https://doaj.org/article/03bc781272d74adaa34947ef24b9291a
Publikováno v:
In Heliyon 15 May 2024 10(9)
Autor:
Yang Yi, Arbab Ahmed
Publikováno v:
Applied Mathematics and Nonlinear Sciences, Vol 8, Iss 1, Pp 1551-1560 (2023)
In order to study the dynamic characteristics of the interest rate term structure of zero-yield bonds in China's bond market, and why China's interest rate term shows such changing characteristics 96-month interest rate structure data at the end of D
Externí odkaz:
https://doaj.org/article/c88de1cc675445228dd3ffcbba6aa78c
Autor:
Jun Sik Kim
Publikováno v:
Seonmul yeongu, Vol 29, Iss 1, Pp 2-28 (2021)
Purpose – This paper aims to investigate the impact of uncertainty on the predictive power of term spread and its components for future stock market returns and economic activity in Korea and the USA. This paper finds that the stock market’s expe
Externí odkaz:
https://doaj.org/article/4183603c699e4134994c3eb9138d3d09
Akademický článek
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Publikováno v:
Journal of Business & Economic Statistics, 2004 Oct 01. 22(4), 396-409.
Externí odkaz:
https://www.jstor.org/stable/1392046
Akademický článek
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Autor:
Bristotti, Fernando Odair
Para que um operador de uma mesa proprietária de um banco consiga fornecer um preço competitivo e de forma a auferir lucro em uma operação é fundamental uma estimação adequada da estrutura a termo da taxa de juros. Afinal, cada uma dessas dema
Autor:
Song, Joon hyuk
Publikováno v:
KDI Journal of Economic Policy, Vol 31, Iss 2, Pp 15-45 (2009)
This paper estimates the term structure of interest rates with the setup of 3-factor no arbitrage model and investigates the trend of term premia and the effectiveness of changes in policy interest rates. The term premia are found to be high in a thr
Externí odkaz:
https://doaj.org/article/17366ed8a5df44ef98667076a1408a0e