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  • Search: subject:"Term Structure Models"
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Year of publication
Subject
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Zinsstruktur 52 Yield curve 43 Theorie 29 Schätzung 23 Theory 23 Affine term structure models 22 term structure models 22 Estimation 18 affine term structure models 16 Geldpolitik 15 USA 14 Monetary policy 13 monetary policy 13 Anleihe 12 Kapitaleinkommen 12 Risikoprämie 12 Term Structure Models 11 Term structure models 11 Bond 10 Capital income 10 Risk premium 10 yield curve 10 Prognoseverfahren 9 Affine Term Structure Models 8 CAPM 8 United States 8 Öffentliche Anleihe 8 Low-interest-rate policy 7 Niedrigzinspolitik 7 Public bond 7 Erwartungsbildung 6 Forecasting model 6 Option pricing theory 6 Optionspreistheorie 6 Volatilität 6 Zins 6 zero lower bound 6 Expectation formation 5 Interest rate 5 Kalman filter 5
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Online availability
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Free 127 CC license 3
Type of publication
All
Book / Working Paper 107 Article 17 Other 3
Type of publication (narrower categories)
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Working Paper 54 Graue Literatur 31 Non-commercial literature 31 Arbeitspapier 30 Article in journal 10 Aufsatz in Zeitschrift 10 Article 4 Aufsatzsammlung 1 Hochschulschrift 1 Report 1
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Language
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English 92 Undetermined 34 Spanish 1
Author
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Giacomini, Raffaella 7 Halberstadt, Arne 7 Kaminska, Iryna 6 Lemke, Wolfgang 6 Meldrum, Andrew 6 Altavilla, Carlo 5 Krippner, Leo 5 Ragusa, Giuseppe 5 Macrina, Andrea 4 Nyholm, Ken 4 Vidova-Koleva, Rositsa 4 Werner, Thomas 4 Alloza, Mario 3 Bauer, Michael D. 3 Coroneo, Laura 3 Costain, James 3 Fendel, Ralf 3 Hurtado, Samuel 3 Lautier, Delphine 3 Martínez-Martín, Jaime 3 Mumtaz, Haroon 3 Poghosyan, Tigran 3 Rudebusch, Glenn D. 3 Tristani, Oreste 3 Adrian, Tobias 2 Aguilar, Pablo 2 Andreasen, Martin 2 Archontakis, Theofanis 2 Baumeister, Christiane 2 Breach, Tomas 2 Carriero, Andrea 2 Christoffersen, Peter 2 D'Amico, Stefania 2 Dankenbring, Henning 2 De Rezende, Rafael B. 2 Dorion, Christian 2 García, Juan Angel 2 Gümbel, Sandrine 2 Hevia, Constantino 2 Hlouskova, Jaroslava 2
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Institution
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European Central Bank 7 Deutsche Bundesbank 5 Banque de France 4 HAL 4 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 4 School of Economics and Management, University of Aarhus 3 University of Bonn, Germany 3 Bank of England 2 Econometric Society 2 Banca d'Italia 1 CESifo 1 Center for Economic Research and Graduate Education and Economics Institute (CERGE-EI) 1 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 1 Crawford School of Public Policy, Australian National University 1 Department of Economics and Related Studies, University of York 1 Department of Economics, Boston College 1 Département des Études Économiques d'Ensemble (D3E), Institut National de la Statistique et des Études Économiques (INSEE) 1 Federal Reserve Bank of San Francisco 1 Federal Reserve Board (Board of Governors of the Federal Reserve System) 1 Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues - GEWISOLA 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Tilburg University, Center for Economic Research 1 Université Paris-Dauphine 1 Université Paris-Dauphine (Paris IX) 1 William Davidson Institute, University of Michigan 1
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Published in...
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ECB Working Paper 7 Working Paper Series / European Central Bank 7 MPRA Paper 4 Risks : open access journal 4 Working papers / Banque de France 4 CAMA working paper series 3 CREATES Research Papers 3 Discussion Paper Serie B 3 Discussion Paper Series 1 3 Discussion Paper Series 1: Economic Studies 3 Post-Print / HAL 3 Risks 3 Staff working papers / Bank of England 3 Bank of England working papers 2 Bundesbank Discussion Paper 2 CESifo Working Paper 2 CESifo working papers 2 CREATES research paper 2 Discussion Papers / Deutsche Bundesbank 2 Discussion paper 2 Economics Bulletin 2 Finance and economics discussion series 2 Quantitative finance 2 Staff Report 2 Working Paper 2 53rd Annual Conference, Berlin, Germany, September 25-27, 2013 1 Bank of Finland Research Discussion Papers 1 Bank of Finland research discussion papers 1 Borradores de economía 1 Boston College Working Papers in Economics 1 Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society 1 CAMA Working Papers 1 CEMMAP working papers / Centre for Microdata Methods and Practice 1 CERGE-EI Working Papers 1 CESifo Working Paper Series 1 CFM discussion paper series 1 Cahiers de recherche 1 Deutsche Bundesbank Discussion Paper 1 Discussion Paper / Tilburg University, Center for Economic Research 1 Discussion Papers / Department of Economics and Related Studies, University of York 1
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Source
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RePEc 53 ECONIS (ZBW) 42 EconStor 28 BASE 4
Showing 1 - 10 of 127
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Across the borders, above the bounds : a non-linear framework for international yield curves
Coroneo, Laura; Kaminska, Iryna; Pastorello, Sergio - 2024
Persistent link: https://www.econbiz.de/10015050688
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Risks and risk premia in the US Treasury market
Li, Junye; Sarno, Lucio; Zinna, Gabriele - In: Journal of economic dynamics & control 158 (2024), pp. 1-24
Persistent link: https://www.econbiz.de/10014532189
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Regime-switching affine term structures
Celary, Andreas; Eksi-Altay, Zehra; Krühner, Paul - In: Quantitative finance 24 (2024) 1, pp. 139-155
Persistent link: https://www.econbiz.de/10014551950
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The effect of the European central bank’s asset purchase programmes on Spain’s public finances
Aguilar, Pablo A.; Alloza, Mario; Costain, James; … - 2024
Persistent link: https://www.econbiz.de/10014632117
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A semi-static replication method for Bermudan swaptions under an affine multi-factor model
Hoencamp, Jori; Jain, Shashi; Kandhai, Drona - In: Risks : open access journal 11 (2023) 10, pp. 1-41
We present a semi-static replication algorithm for Bermudan swaptions under an affine, multi-factor term structure model. In contrast to dynamic replication, which needs to be continuously updated as the market moves, a semi-static replication needs to be rebalanced on just a finite number of...
Persistent link: https://www.econbiz.de/10014391534
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Discount models
Filipović, Damir - In: Finance and stochastics 27 (2023) 4, pp. 933-946
Persistent link: https://www.econbiz.de/10014426399
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A robust model for the term structure of interest rates: some applications in Colombia
Cabrera, Wilmar; Rodríguez-Novoa, Daniela; … - 2023
Persistent link: https://www.econbiz.de/10014430380
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Modelling the term structure with trends in yields and cycles in excess returns
Favero, Carlo A.; Fernàndez-Fuertes, Rubén - 2023
Persistent link: https://www.econbiz.de/10014479331
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Investing towards an exogenous reference level using a lower partial moments criterion
Kamma, Thijs; Pelsser, Antoon André Jean - 2022
Persistent link: https://www.econbiz.de/10013433526
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Price impact on term structure
Brigo, Damiano; Graceffa, Federico; Neuman, Eyal - In: Quantitative finance 22 (2022) 1, pp. 171-195
Persistent link: https://www.econbiz.de/10012872530
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