Zobrazeno 1 - 6
of 6
pro vyhledávání: '"fixed coupon bond"'
Publikováno v:
Andreasen, M M, Christensen, J H E & Rudebusch, G D 2019, ' Term Structure Analysis with Big Data : One-Step Estimation Using Bond Prices ', Journal of Econometrics, vol. 212, no. 1, pp. 26-46 . https://doi.org/10.1016/j.jeconom.2019.04.019
Nearly all studies that analyze the term structure of interest rates take a two-step approach. First, actual bond prices are summarized by interpolated synthetic zero-coupon yields, and second, some of these yields are used as the source data for fur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::97e2d74c2ab81a06fd5d3e5895b7c599
https://pure.au.dk/ws/files/209663285/Term_Structure_Analysis_with_Big_Data_AM_2019.pdf
https://pure.au.dk/ws/files/209663285/Term_Structure_Analysis_with_Big_Data_AM_2019.pdf
Publikováno v:
長崎大学経済学部研究年報 = Annual review of economics. 32:57-69
In this paper, we generalize the cross-sectional fixed-coupon bond pricing model of Kariya et. al．(2012) to a dynamic one. The bond prices are modeled as the present values of the future cash-flows where the discount functions are stochastic and ma
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=jairo_______::da8ba701648df79852d7abe270892c53
http://hdl.handle.net/10069/36650
http://hdl.handle.net/10069/36650
Publikováno v:
Andreasen, M M, Christensen, J H E & Rudebusch, G D 2017 ' Term Structure Analysis with Big Data ' Institut for Økonomi, Aarhus Universitet, Aarhus .
Analysis of the term structure of interest rates almost always takes a two-step approach. First, actual bond prices are summarized by interpolated synthetic zero-coupon yields, and second, a small set of these yields are used as the source data for f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::41b5b54f326c15feca892e33ebf2a51e
https://pure.au.dk/ws/files/117214681/rp17_31.pdf
https://pure.au.dk/ws/files/117214681/rp17_31.pdf
Akademický článek
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Autor:
Myšičková, Ivana
Presented study analyzes interest rate risk associated with the possession of given fixed coupon bond. In the first chapter, we define some of the basic concepts and provide description of available data. These are historical data on spot interest ra
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::04b4f2dd7f2ab575ce817b7be8f10c97
http://www.nusl.cz/ntk/nusl-490958
http://www.nusl.cz/ntk/nusl-490958
Kniha
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