Zobrazeno 1 - 10
of 542
pro vyhledávání: '"nelson-siegel"'
Autor:
M. S. Makushkin, V. A. Lapshin
Publikováno v:
Финансы: теория и практика, Vol 27, Iss 6, Pp 44-53 (2023)
Missing observations in market data is a frequent problem in financial studies. The problem of missing data is often overlooked in practice. Missing data is mostly treated using ad hoc methods or just ignored. Our goal is to develop practical recomme
Externí odkaz:
https://doaj.org/article/0aa7f034fa01400eafe1cad5946560c4
Publikováno v:
Risk Management Magazine, Vol 18, Iss 3, Pp 16-35 (2023)
The correct modeling of the interest rates term structure should definitely be considered an aspect of primary importance since the forward rates and the discount factors used in any financial and risk analysis are calculated from such structure. The
Externí odkaz:
https://doaj.org/article/e4ff8c594cbd4fc58c795bf8cabcaaa2
Publikováno v:
REAd, Vol 29, Iss 1, Pp 261-286 (2023)
Resumo Este trabalho analisa, sob a ótica das propriedades desejáveis das curvas de juros, a adequação à realidade brasileira das Estruturas a Termo das Taxas de Juros fixadas pela Susep para fins de avaliação dos passivos atuariais e de deter
Externí odkaz:
https://doaj.org/article/846e19e9ea714b8599468f3571cc5816
Autor:
Mmakganya Mashoene, Mishelle Doorasamy
Publikováno v:
Economics, Management and Sustainability, Vol 8, Iss 2 (2023)
This study investigates the dynamism of different mathematical term-structure models during COVID-19 to estimate the South African real spot-rate curve. The study is based on term-structure models following Nelson-Siegel framework; and further incorp
Externí odkaz:
https://doaj.org/article/25a497b085044c9295c42ca9366c7cb2
Autor:
Mmakganya Mashoene, Mishelle Doorasamy
Publikováno v:
Journal of Accounting and Finance in Emerging Economies, Vol 9, Iss 3 (2023)
Purpose: The aim of this study is to investigate the performance of forecasting the South African real spot rate curve using different mathematical term-structure models during the Covid-19 period. This study follows previous studies by Reid (2009) a
Externí odkaz:
https://doaj.org/article/bc623d00fb124775ba7b3934809094b6
Autor:
Subramaniam, Sowmya
Publikováno v:
Studies in Economics and Finance, 2021, Vol. 39, Issue 2, pp. 311-330.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/SEF-05-2021-0214
Autor:
Erasmus, Ruan, Steenkamp, Daan
Publikováno v:
Journal of Applied Economic Sciences (JAES). XVII(78):347-350
Externí odkaz:
https://www.ceeol.com/search/article-detail?id=1086394
Autor:
Kostyra, Tomasz
Publikováno v:
Gospodarka Narodowa. The Polish Journal of Economics. 310(2):44-56
Externí odkaz:
https://www.ceeol.com/search/article-detail?id=1049068
Autor:
Tomasz P. Kostyra
Publikováno v:
Gospodarka Narodowa. The Polish Journal of Economics, Vol 310, Iss 2, Pp 44-56 (2022)
Yield curve modelling is an essential task for the governance of the modern economy and in particular for financial market participants, and hence it is an extensively researched topic. This paper presents yield curve modelling using the Nelson-Siege
Externí odkaz:
https://doaj.org/article/fb280eafd77142048ee5a0ea48af687c