A factor risk model with reference returns for the US dollar and Japanese yen bond markets
Year of publication: |
2006
|
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Authors: | Bernadell, Carlos ; Coche, Joachim ; Nyholm, Ken |
Publisher: |
Frankfurt a. M. : European Central Bank (ECB) |
Subject: | Portfolio-Management | Risiko | Anleihe | Yen | US-Dollar | factor risk model | Regime switching | scenario analysis |
Series: | ECB Working Paper ; 641 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 51406630X [GVK] hdl:10419/153075 [Handle] RePEc:ecb:ecbwps:20060641 [RePEc] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C32 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; G11 - Portfolio Choice ; G15 - International Financial Markets |
Source: |
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