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  • Search: subject:"Term structure modelling"
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Year of publication
Subject
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Zinsstruktur 8 Yield curve 6 Term structure modelling 5 Factor Models 4 Joint real-nominal term structure modelling 4 Macroeconomic Fundamentals 4 Stochastic Volatility 4 Term Structure Modelling 4 Theorie 4 Yield Curve Risk 4 euro area 4 inflation expectations 4 inflation risk premium 4 lower bound 4 monetary policy 4 Geldpolitik 3 Low-interest-rate policy 3 Monetary policy 3 Niedrigzinspolitik 3 Risikoprämie 3 Theory 3 Euro area 2 Eurozone 2 Inflation 2 Inflation expectations 2 Inflationserwartung 2 Interest rate derivative 2 Makroökonomischer Einfluss 2 Risk premium 2 Swap 2 USA 2 Volatilität 2 Zinsderivat 2 survey information 2 yield curve decomposition 2 Öffentliche Anleihe 2 Arbitrage Pricing 1 Arbitrage pricing 1 Basis swaps 1 Central bank 1
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Online availability
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Free 9 Undetermined 4
Type of publication
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Book / Working Paper 10 Article 5
Type of publication (narrower categories)
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Working Paper 6 Article in journal 4 Aufsatz in Zeitschrift 4 Arbeitspapier 2 Graue Literatur 2 Non-commercial literature 2
Language
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English 11 Undetermined 4
Author
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Hautsch, Nikolaus 5 Ou, Yangguoyi 5 Schupp, Fabian 4 Archer, David J. 1 Beard, Rodney 1 Christensen, Jens H. E. 1 Cummins, Mark 1 DAVIS, MARK H. A. 1 Fanelli, Viviana 1 Kearney, Fearghal 1 López, José A. 1 MATAIX-PASTOR, VICENTE 1 McDonald, Stuart 1 Murphy, Finbarr 1 Rebonato, Riccardo 1 Ronzani, Riccardo 1 Rudebusch, Glenn D. 1
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Institution
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Center for Financial Studies 2 Society for Computational Economics - SCE 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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CFS Working Paper Series 2 Journal of empirical finance 2 CFS Working Paper 1 Computing in Economics and Finance 2002 1 Deutsche Bundesbank Discussion Paper 1 Discussion paper 1 ECB Working Paper 1 European journal of operational research : EJOR 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 Journal of monetary economics 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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ECONIS (ZBW) 6 RePEc 5 EconStor 4
Showing 11 - 15 of 15
Cover Image
Comment on: "A probability-based stress test of Federal Reserve assets and income"
Archer, David J. - In: Journal of monetary economics 73 (2015), pp. 44-47
Persistent link: https://www.econbiz.de/10011381697
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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
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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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ARBITRAGE-FREE INTERPOLATION OF THE SWAP CURVE
DAVIS, MARK H. A.; MATAIX-PASTOR, VICENTE - In: International Journal of Theoretical and Applied … 12 (2009) 07, pp. 969-1005
We suggest an arbitrage free interpolation method for pricing zero-coupon bonds of arbitrary maturities from a model of the market data that typically underlies the swap curve; that is short term, future and swap rates. This is done first within the context of the Libor or the swap market model....
Persistent link: https://www.econbiz.de/10008468971
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Numerical Simulation of the Term Structure of Interest Rates using a Random Field
McDonald, Stuart; Beard, Rodney - Society for Computational Economics - SCE - 2002
Persistent link: https://www.econbiz.de/10005537696
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