Search Results - subject:"Forward curve"

Combining negative rates, forward guidance and asset purchases: Identification and impacts of the ECB's unconventional policies

Rostagno, Massimo; Altavilla, Carlo; Carboni, Giacomo; … - 2021

event study with forward curve counterfactuals that we construct using predictive rate densities derived from rate options …

Persistent link: https://www.econbiz.de/10012605260

Combining negative rates, forward guidance and asset purchases : identification and impacts of the ECB's unconventional policies

Rostagno, Massimo; Altavilla, Carlo; Carboni, Giacomo; … - 2021

event study with forward curve counterfactuals that we construct using predictive rate densities derived from rate options …

Persistent link: https://www.econbiz.de/10012519567

State space decomposition and classification of term structure shapes in the two-factor vasicek model

Keller-Ressel, Martin; Sachse, Felix - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-38

Persistent link: https://www.econbiz.de/10014497221

Short- and long-term forecasting of electricity prices using embedding of calendar information in neural networks

Wagner, Andreas; Ramentol, Enislay; Schirra, Florian; … - In: Journal of commodity markets 28 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10014335249

The classification of term structure shapes in the two-factor vasicek model : a total positivity approach

Keller-Ressel, Martin - In: International journal of theoretical and applied finance 24 (2021) 5, pp. 1-27

Persistent link: https://www.econbiz.de/10012662032

Three-factor commodity forward curve model and its joint P and Q dynamics

Ladokhin, Sergiy; Borovkova, Svetlana - In: Energy economics 101 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013161542

Exact smooth term structure estimation

Filipović, Damir; Willems, Sander - 2016

We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy to implement and requires only basic...

Persistent link: https://www.econbiz.de/10011516039

Monetary policy with opinionated markets

Caballero, Ricardo J.; Simsek, Alp - 2020

Persistent link: https://www.econbiz.de/10012228423

Duration dependence among agricultural futures with different maturities

Volkenand, Steffen; Filler, Guenther; Kionka, Marlene; … - In: Applied economics letters 27 (2020) 2, pp. 150-155

Persistent link: https://www.econbiz.de/10012205399

A Power Market Forward Curve with Hydrology Dependence An Approach based on Artificial Neural Networks

Green, Rikard - Knut Wicksells centrum för finansvetenskap, … - 2015

This paper develops an hourly forward curve for power markets where the intra-day and intra-week shapes (profiles … dependence of the shapes. We conclude the paper with a real world valuation task. By combining our proposed forward curve with a …

Persistent link: https://www.econbiz.de/10011132254

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