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  • Search: subject:"affine term structure models"
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Year of publication
Subject
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Zinsstruktur 47 Affine term structure models 42 Yield curve 39 affine term structure models 26 Estimation 23 Schätzung 23 Theorie 23 Theory 19 Risikoprämie 17 Risk premium 15 Geldpolitik 13 Monetary policy 12 Affine Term Structure Models 11 Kapitaleinkommen 11 Volatilität 10 Capital income 9 CAPM 8 Estimation theory 8 Prognoseverfahren 8 Schätztheorie 8 USA 8 Volatility 8 Anleihe 7 Bond 7 Forecasting model 7 affine term-structure models 7 monetary policy 7 Zustandsraummodell 6 risk premia 6 State space model 5 VAR-Modell 5 Zins 5 asset pricing 5 zero lower bound 5 Öffentliche Anleihe 5 Armenia 4 Asset pricing 4 Erwartungsbildung 4 Expectation formation 4 FAVAR 4
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Online availability
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Free 62 Undetermined 31 CC license 1
Type of publication
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Book / Working Paper 66 Article 39 Other 1
Type of publication (narrower categories)
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Working Paper 34 Article in journal 24 Aufsatz in Zeitschrift 24 Arbeitspapier 16 Graue Literatur 16 Non-commercial literature 16 Article 1
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Language
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English 72 Undetermined 34
Author
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Halberstadt, Arne 8 Lemke, Wolfgang 6 Kaminska, Iryna 4 Nyholm, Ken 4 Poghosyan, Tigran 4 Sögner, Leopold 4 Vidova-Koleva, Rositsa 4 Werner, Thomas 4 Wu, Jing Cynthia 4 Baumeister, Christiane 3 Carriero, Andrea 3 Fendel, Ralf 3 Hamilton, James D. 3 Hevia, Constantino 3 Krippner, Leo 3 Mumtaz, Haroon 3 Sola, Martin 3 Tristani, Oreste 3 Adrian, Tobias 2 Archontakis, Theofanis 2 Chernov, Mikhail 2 Coroneo, Laura 2 De Rezende, Rafael B. 2 Favero, Carlo A. 2 García, Juan Angel 2 Giacomini, Raffaella 2 Hlouskova, Jaroslava 2 Hördahl, Peter 2 Juneja, Januj Amar 2 Kocenda, Evzen 2 Lamé, Gildas 2 Monfort, A. 2 Mueller, Philippe 2 Mönch, Emanuel 2 Pegoraro, F. 2 Realdon, Marco 2 Renne, J-P. 2 Stapf, Jelena 2 Traczyk, Adam 2 Vestin, David 2
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Institution
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European Central Bank 6 Deutsche Bundesbank 5 Banque de France 4 HAL 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 EconWPA 2 Econometric Society 2 Society for Computational Economics - SCE 2 Center for Economic Research and Graduate Education and Economics Institute (CERGE-EI) 1 Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Crawford School of Public Policy, Australian National University 1 Département des Études Économiques d'Ensemble (D3E), Institut National de la Statistique et des Études Économiques (INSEE) 1 William Davidson Institute, University of Michigan 1
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Published in...
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ECB Working Paper 6 Working Paper Series / European Central Bank 6 Working papers / Banque de France 4 Discussion Paper Series 1 3 Discussion Paper Series 1: Economic Studies 3 MPRA Paper 3 Annals of Finance 2 Bundesbank Discussion Paper 2 Discussion Papers / Deutsche Bundesbank 2 Discussion paper 2 Discussion papers / CEPR 2 Journal of Econometrics 2 Post-Print / HAL 2 Quantitative Finance 2 Staff Report 2 Staff working papers / Bank of England 2 Studies in nonlinear dynamics and econometrics : SNDE ; quarterly publ. electronically on the internet 2 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 2 Borradores de economía 1 Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society 1 CAMA Working Papers 1 CAMA working paper series 1 CERGE-EI Working Papers 1 CESifo Working Paper 1 CESifo working papers 1 Computational economics 1 Computational management science 1 Computing in Economics and Finance 2004 1 Computing in Economics and Finance 2006 1 Deutsche Bundesbank Discussion Paper 1 Discussion paper / Centre for Economic Policy Research 1 Discussion paper series / Reserve Bank of New Zealand 1 Documents de Travail de la DESE - Working Papers of the DESE 1 Econometric Society 2004 North American Summer Meetings 1 Econometric Society 2004 North American Winter Meetings 1 Econometrics 1 Emerging Markets Finance and Trade 1 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 1 Empirical Economics 1 Empirical economics : a journal of the Institute for Advanced Studies, Vienna, Austria 1
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Source
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RePEc 46 ECONIS (ZBW) 40 EconStor 19 BASE 1
Showing 41 - 50 of 106
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The Role of Bounded Rationality in Macro-Finance Affine Term-Structure Models
Yun, Tack; Kim, Jinsook; Ko, Eunmi - Volkswirtschaftliche Fakultät, … - 2012
structure models. We indentify a set of sufficient conditions to generate the observational equivalence between affine term-structure … bounded rationality by incorporating either information-processing constraint or fear for mis-specification into affine term … models with rational inattention and a fear for model misspecification. The presence of bounded rationality creates a new …
Persistent link: https://www.econbiz.de/10011110476
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An affine multifactor model with macro factors for the German term structure: Changing results during the recent crises
Halberstadt, Arne; Stapf, Jelena - Deutsche Bundesbank - 2012
Using arbitrage-free affine models, we analyze the dynamics of German bond yields and risk premia for the period 1999 to 2010 (EMU). We estimate two model specifications, one with only latent factors, and another one with a Taylor-type rule comprising a price and a real activity factor drawn...
Persistent link: https://www.econbiz.de/10010957117
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A model of the euro-area yield curve with discrete policy rates.
Renne, J-P. - Banque de France - 2012
This paper presents a no-arbitrage model of the yield curve that explicitly incorporates the central-bank policy rate. After having estimated the model using daily euro-area data, I explore the behaviour of risk premia at the short end of the yield curve. These risk premia are neglected by the...
Persistent link: https://www.econbiz.de/10010568851
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Invariance, observational equivalence, and identification : some implications for the empirical performance of affine term structure models
Juneja, Januj - In: The quarterly review of economics and finance : journal … 64 (2017), pp. 292-305
Persistent link: https://www.econbiz.de/10011792338
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Implicit inflation and risk premiums in the Brazilian fixed income market
Mariani, Lucas Argentieri; Laurini, Márcio Poletti - In: Emerging markets finance & trade : a journal of the … 53 (2017) 7/8/9, pp. 1836-1853
Persistent link: https://www.econbiz.de/10011824783
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A model of the euro-area yield curve with discrete policy rates
Renne, Jean-Paul - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 21 (2017) 1, pp. 99-116
Persistent link: https://www.econbiz.de/10011650234
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How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
Carriero, Andrea; Giacomini, Raffaella - HAL - 2011
We develop a general framework for analyzing the usefulness of imposing parameter restrictions on a forecasting model. We propose a measure of the usefulness of the restrictions that depends on the forecaster's loss function and that could be time varying. We show how to conduct inference about...
Persistent link: https://www.econbiz.de/10010820763
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How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
Carriero, Andrea; Giacomini, Raffaella - HAL - 2011
We develop a general framework for analyzing the usefulness of imposing parameter restrictions on a forecasting model. We propose a measure of the usefulness of the restrictions that depends on the forecaster's loss function and that could be time varying. We show how to conduct inference about...
Persistent link: https://www.econbiz.de/10010820791
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Fiscal Sustainability, Default Risk and Euro Area Sovereign Bond Spreads Markets
Borgy, V.; Laubach, T.; Mésonnier, J-S.; Renne, J-P. - Banque de France - 2011
This paper develops an arbitrage-free affine term structure model of potentially defaultable sovereign bonds to model a cross-section of eight euro area government bond yield curves since January 1999. The existence of a common monetary policy under European Monetary Union determines the short...
Persistent link: https://www.econbiz.de/10009367415
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Theory and empirics of an affine term structure model applied to European data
Jakas, Vicente - Volkswirtschaftliche Fakultät, … - 2011
The basic asset pricing equation is adapted to include the effects of unemployment, consumers’ expectations, the price level and money supply on money market rates and government bond yields. Expected consumption growth is modelled using European unemployment figures and Eurostat Consumer...
Persistent link: https://www.econbiz.de/10009418500
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