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Term-structure estimation in markets with infrequent trading
(WILEY-BLACKWELL, 2007)
There are two issues that are of central importance in term-structure analysis. One is the modelling and estimation of the current term structure of spot rates. The second is the modelling and estimation of the dynamics ...
Conceptual Analysis of a Terminological Unit in the Light of Modern Cognitive Terminology
(Universidad del Zulia, 2020)
The role of no-arbitrage on forecasting: lessons from a parametric term structure model
(Escola de Pós-Graduação em Economia da FGV, 2007-10-01)
Parametric term structure models have been successfully applied to innumerous problems in fixed income markets, including pricing, hedging, managing risk, as well as studying monetary policy implications. On their turn, ...
Hedging options in a garch environment: testing the term structure of stochastic volatility models
(Escola de Pós-Graduação em Economia da FGV, 1994-12-12)
This paper develops a methodology for testing the term structure of volatility forecasts derived from stochastic volatility models, and implements it to analyze models of S&P500 index volatility. U sing measurements of the ...
Approximating risk premium on a parametric arbitrage-free term structure model
(Sociedade Brasileira de Econometria, 2014-11-14)
In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids the cost of a ...
Approximating risk premium on a parametric arbitrage-free term structure model
(FGV EPGE, 2014)
In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids full optimization ...
The Secular Trend of Brazilian Terms of Trade Revisited - 1850 to 2000The Secular Trend of Brazilian Terms of Trade Revisited - 1850 to 2000
(Sociedade Brasileira de Econometria, 2003)
Credit Spreads in Illiquid Markets: Model and Implementation
(ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 2012)
This paper presents a methodology for estimating a family of credit spread term structures in a market with few transactions. The authors propose partitioning the market into risk classes and modeling credit spread term ...
Structural real exchange rate and unemployment interdependencies in Argentina
(2014)
Based on a three-sector micro-founded model of a small open economy, this paper investigates the interdependences between the structural real exchange rate (defi ned as the relative prices tradable to non-tradable goods ...
Identification of Gaussian Term Structure Models with Observable Factors
(Sociedade Brasileira de Econometria, 2011)