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  • Search: subject:"Term structure modelling"
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Year of publication
Subject
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Factor Models 4 Joint real-nominal term structure modelling 4 Macroeconomic Fundamentals 4 Stochastic Volatility 4 Term Structure Modelling 4 Yield Curve Risk 4 Zinsstruktur 4 euro area 4 inflation expectations 4 inflation risk premium 4 lower bound 4 monetary policy 4 Risikoprämie 3 Theorie 3 Euro area 2 Eurozone 2 Geldpolitik 2 Inflation 2 Inflation expectations 2 Inflationserwartung 2 Low-interest-rate policy 2 Makroökonomischer Einfluss 2 Monetary policy 2 Niedrigzinspolitik 2 Risk premium 2 Theory 2 USA 2 Volatilität 2 Yield curve 2 survey information 2 yield curve decomposition 2 Öffentliche Anleihe 2 EU countries 1 EU-Staaten 1 Faktorenanalyse 1 Rendite 1 Schätzung 1 Stochastischer Prozess 1 Term structure modelling 1 Zinsrisiko 1
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Online availability
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Free 9
Type of publication
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Book / Working Paper 9
Type of publication (narrower categories)
All
Working Paper 6 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2
Language
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English 7 Undetermined 2
Author
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Hautsch, Nikolaus 5 Ou, Yangguoyi 5 Schupp, Fabian 4
Institution
All
Center for Financial Studies 2 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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CFS Working Paper Series 2 CFS Working Paper 1 Deutsche Bundesbank Discussion Paper 1 Discussion paper 1 ECB Working Paper 1 SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 Working paper series / European Central Bank 1
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Source
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EconStor 4 RePEc 3 ECONIS (ZBW) 2
Showing 1 - 9 of 9
Cover Image
The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
I propose a new term structure model for euro area real and nominal interest rates which explicitly incorporates a time-varying lower bound for nominal interest rates. Results suggest that the lower bound is of importance in structural analyses implying time-varying impulse responses of yield...
Persistent link: https://www.econbiz.de/10012227061
Saved in:
Cover Image
The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
I propose a new term structure model for euro area real and nominal interest rates which explicitly incorporates a time-varying lower bound for nominal interest rates. Results suggest that the lower bound is of importance in structural analyses implying time-varying impulse responses of yield...
Persistent link: https://www.econbiz.de/10012422138
Saved in:
Cover Image
The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
I propose a new term structure model for euro area real and nominal interest rates which explicitly incorporates a time-varying lower bound for nominal interest rates. Results suggest that the lower bound is of importance in structural analyses implying time-varying impulse responses of yield...
Persistent link: https://www.econbiz.de/10012299079
Saved in:
Cover Image
The (ir)relevance of the nominal lower bound for real yield curve analysis
Schupp, Fabian - 2020
I propose a new term structure model for euro area real and nominal interest rates which explicitly incorporates a time-varying lower bound for nominal interest rates. Results suggest that the lower bound is of importance in structural analyses implying time-varying impulse responses of yield...
Persistent link: https://www.econbiz.de/10012222610
Saved in:
Cover Image
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
Hautsch, Nikolaus; Ou, Yangguoyi - 2009
We propose a Nelson-Siegel type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term structure and are associated with the time-varying...
Persistent link: https://www.econbiz.de/10010303741
Saved in:
Cover Image
Analyzing interest rate risk: Stochastic volatility in the term structure of government bond yields
Hautsch, Nikolaus; Ou, Yangguoyi - Center for Financial Studies - 2009
We propose a Nelson-Siegel type interest rate term structure model where the underlying yield factors follow autoregressive processes with stochastic volatility. The factor volatilities parsimoniously capture risk inherent to the term structure and are associated with the time-varying...
Persistent link: https://www.econbiz.de/10010958635
Saved in:
Cover Image
Analyzing Interest Rate Risk: Stochastic Volatility in the Term Structure of Government Bond Yields
Hautsch, Nikolaus; Ou, Yangguoyi - Center for Financial Studies - 2009
, inflation, monetary policy and employment growth. JEL Classification: C5, E4, G1 Keywords: Term Structure Modelling …
Persistent link: https://www.econbiz.de/10005007634
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Cover Image
Yield curve factors, term structure volatility, and bond risk premia
Hautsch, Nikolaus; Ou, Yangguoyi - 2008
We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term struc- ture and are associated with the time-varying...
Persistent link: https://www.econbiz.de/10010263741
Saved in:
Cover Image
Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia
Hautsch, Nikolaus; Ou, Yangguoyi - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2008
macroeconomic fundamentals. Key words: Term Structure Modelling; Yield Curve Risk; Stochastic Volatility; Factor Models … structure modelling are equilibrium models as proposed by Vasicek (1977), Cox, Ingersoll, and Ross (1985), Duffie and Kan (1996 … the modelling and forecast- ing of interest rates and the term structure thereof. Popular theoretical approaches to term …
Persistent link: https://www.econbiz.de/10005677916
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