Buscar
Mostrando ítems 1-10 de 252
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, ...
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 ...
Does curvature enhance forecasting?
(Banco Central do Brasil, 2008)
In this paper, we analyze the importance of curvature term structure movements on forecasts of interest rates. An extension of the exponential three-factor Diebold and Li (2006) model is proposed, where a fourth factor ...
A hybrid spline-based parametric model for the yield curve
(Elsevier B.V., 2018)
Empirical evidence indicates that both nominal and real yield curves in important markets have segmentation between their short end and their longer-maturity segments. This segmentation might affect term structure estimation, ...
Approximating Risk Premium on a Parametric Arbitrage-free Term Structure Model
(Sociedade Brasileira de Econometria, 2014)
Measurement of the velocity eld in parametrically excited solitary waves
(Cambridge University Press, 2014)
Parametrically excited solitary waves emerge as localized structures in high-aspectratio
free surfaces subject to vertical vibrations. Herein, we provide the first experimental
characterization of the hydrodynamics of ...
A Polynomial Term Structure Model with Macroeconomic VariablesUm Modelo de Fatores Latentes com Variáveis Macroeconômicas para a Curva de Cupom Cambial
(Lociedade Brasileira de Finanças, 2007)
Affine processes, arbitrage-Free Term structures of legendre polynomials,and option pricing
(Escola de Pós-Graduação em Economia da FGV, 2005-02-03)
Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets. In these models, uncertainty of the term structure is driven by a state vector, while the short rate ...