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The term structure of interest rates, the expectations hypothesis and international financial integration: Evidence from Asian economies
The validity of the expectations hypothesis of the term structure is examined for a sample of Asian countries. A panel stationarity testing procedure is employed that addresses both structural breaks and cross-sectional ...
Estrutura a termo de volatilidade no mercado brasileiro e aplicação para risco de mercado
(2014-01-29)
Com o objetivo de analisar o impacto na Estrutura a Termos de Volatilidade (ETV) das taxas de juros utilizando dois diferentes modelos na estimação da Estrutura a Termo das Taxas de Juros (ETTJ) e a suposição em relação a ...
A Model to Estimate the Us Term Structure of Interest RatesA Model to Estimate the Us Term Structure of Interest Rates
(Sociedade Brasileira de Econometria, 1996)
Forecasting the Term Structure of Interest Rates Using Integrated Nested Laplace Approximations
(Wiley-blackwellHobokenEUA, 2014)
Constrained smoothing B-splines for the term structure of interest rates
(Elsevier Science BvAmsterdamHolanda, 2010)
The economic determinants of the Brazilian nominal term structure of interest rates
(ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD, 2010)
The purpose of this study is to identify the effects of monetary policy and macroeconomic shocks on the dynamics of the Brazilian term structure of interest rates. We estimate a near-VAR model under the identification ...
Essays in applied econometrics
(2015-11-27)
Using a unique dataset on Brazilian nominal and real yield curves combined with daily survey forecasts of macroeconomic variables such as GDP growth, inflation, and exchange rate movements, we identify the effect of surprises ...
Scaling of the 1-halo terms with bias
(2015-01-01)
In the Halo Model, galaxies are hosted by dark matter haloes, while the haloes themselves are biased tracers of the underlying matter distribution. Measurements of galaxy correlation functions include contributions both ...
Term Structure of Interest RatesTerm Structure of Interest Rates
(Universidad de Costa Rica, Centro de Investigación en Matemática Pura y Aplicada (CIMPA), 2005)
What moves the yield curve? lessons from an affine term structure model for Chile
(Universidad de Chile, 2006-11-29)
This paper attempts to provide an economic interpretation of the
factors that drive the movements of interest rates of bonds of different
maturities in a continuous-time no-arbitrage term structure model.
The dynamics ...