Buscar
Mostrando ítems 1-10 de 462
Consistency of Extended Nelson-Siegel Curve Families with the Ho-Lee and Hull and White Short Rate Models
(Scientific Research Publishing, 2017-11)
Nelson and Siegel curves are widely used to fit the observed term structure of interest rates in a particular date. By the other hand, several interest rate models have been developed such their initial forward rate curve ...
Metas inflacionárias: a análise convencional e um modelo alternativo
(Editora 34, 2008-06-01)
Inflation targeting: the conventional analysis and an alternative model. This article has two aims: the first one is to present a formal model of the monetary policy identified generally as inflation targeting policy, an ...
Metas inflacionárias: a análise convencional e um modelo alternativo
(2008)
Inflation targeting: the conventional analysis and an alternative model. This article has two aims: the first one is to present a formal model of the monetary policy identified generally as 'inflation targeting policy', ...
The Impact of Exchange Rate Regime on Interest Rates in Latin America
(Instituto de Economía, Pontificia Universidad Católica de Chile, 2010)
Direction of interest rate movements and interest rate trends of mexican treasury securities
(Journal of Internacional Finance and Economics, 2015)
Unspanned stochastic volatility and fixed income derivatives pricing
(ELSEVIER SCIENCE BV, 2005)
We propose a parsimonious 'unspanned stochastic volatility' model of the term structure and study its implications for fixed-income option prices. The drift and quadratic variation of the short rate are affine in three ...
Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2013-07-01)
It is well known that cointegration between the level of two variables (e.g. prices and dividends) is a necessary condition to assess the empirical validity of a present-value model (PVM) linking them. The work on ...
Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2015-02-26)
Using a sequence of nested multivariate models that are VAR-based, we discuss different layers of restrictions imposed by present-value models (PVM hereafter) on the VAR in levels for series that are subject to present-value ...
Stochastic growth and monetary policy: the impacts on the term structure of interest rates
(Escola de Pós-Graduação em Economia da FGV, 2001-04-01)
This paper builds a simple, empirically-verifiable rational expectations model for term structure of nominal interest rates analysis. It solves an stochastic growth model with investment costs and sticky inflation, susceptible ...