Zobrazeno 1 - 10
of 263
pro vyhledávání: '"Zinsstruktur"'
Publikováno v:
Journal of Corporate Accounting & Finance. 31:57-75
In this paper, we compare three different models, namely the Nelson- Siegel model, the Svensson model and the Diebold- Li model, for the estimation of an intraday yield curve on the Italian interbank credit market e-MID. Using a sample which spans fr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cadf9ebee0f24ef0aeeee4d82661d1df
https://doi.org/10.1002/jcaf.22438
https://doi.org/10.1002/jcaf.22438
We have documented a regime change in the U.S. Treasury market post-Global Financial Crisis (GFC). We first derived bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net long curves. We show that a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::b174c284fd0055d7af31ddbcc22f48cf
https://hdl.handle.net/10419/266107
https://hdl.handle.net/10419/266107
Autor:
Lucca, David O., Wright, Jonathan H.
We study the recent Australian experience with yield curve control (YCC) of government bonds as perhaps the best evidence of how this policy might work in other developed economies. We interpret the evidence with a simple model in which YCC affects p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::a84802dfbd5fbf1e1bcb96e656645913
https://hdl.handle.net/10419/266097
https://hdl.handle.net/10419/266097
Autor:
Gómez-Puig, Marta
Publikováno v:
Applied Economics, 41, 7, 929-939
Yield spreads (corrected for exchange rate risk) over 10-year German securities of European Union countries that did not join EMU experienced an average decrease of 14.20 basis points during the first three years after the beginning of Currency Union
Externí odkaz:
http://www.ssoar.info/ssoar/handle/document/24270
We provide the definition and a complete characterization of regular affine processes. This type of process unifies the concepts of continuous-state branching processes with immigration and Ornstein-Uhlenbeck type processes. We show, and provide foun
Externí odkaz:
http://epub.wu.ac.at/798/1/document.pdf
Autor:
Fertl, Lukas
Seit der gro��en Wirtschaftskrise haben die Zentralbanken den Zinssatz auf 0 gesenkt und in den meisten Volkswirtschaften verharrt der Zins konstant an dieser unteren Grenze. Daher hat er in dieser Zeit wenig Erkl��rungskraft f��r andere
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a46a78b6688c04379da0035c1fb92293
Autor:
Delfau, Emiliano
El objetivo del presente trabajo es realizar un análisis comparativo entre la metodología comúnmente utilizada por los agentes del mercado local en lo referido a la estimación de Curvas de Rendimiento Cupón Cero (también conocidas como Estructu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::67ceb86f6aaeedca63e4508606cff099
https://hdl.handle.net/10419/176596
https://hdl.handle.net/10419/176596
Autor:
Sven Steinkamp, Westermann, F.
Publikováno v:
Scopus-Elsevier
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::9b434e61146877d7b6133ead19de3baa
https://hdl.handle.net/10419/166719
https://hdl.handle.net/10419/166719
We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::aa0c0de7cc0b32b36304cc6a78cf606a
https://hdl.handle.net/10419/146673
https://hdl.handle.net/10419/146673
Autor:
Christian Aßmann, Jens Boysen-Hogrefe
Publikováno v:
Empirica. 39:341-356
Government bond spreads increased rapidly during the financial turmoil in the euro area. In general, government bond spreads in the euro area are attributed to solvency and liquidity risks and determinants thereof. This paper proposes the use of late
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7e41f69d195ed4726a5a6a98922b786b
https://doi.org/10.1007/s10663-011-9171-6
https://doi.org/10.1007/s10663-011-9171-6