Search Results - subject:"dynamic term structure"

Identifying, valuing and hedging of embedded options in non-maturity deposits

Blöchlinger, Andreas - In: Journal of banking & finance 50 (2015), pp. 34-51

Persistent link: https://www.econbiz.de/10010509151

Estimating shadow-rate term structure models with near-zero yields

Christensen, Jens H. E.; Rudebusch, Glenn D. - In: Journal of financial econometrics : official journal of … 13 (2015) 2, pp. 226-259

Persistent link: https://www.econbiz.de/10011339339

International channels of the Fed's unconventional monetary policy

Bauer, Michael D.; Neely, Christopher J. - In: Journal of International Money and Finance 44 (2014) C, pp. 24-46

influenced international bond yields. We use dynamic term structure models to uncover to what extent signaling and portfolio …

Persistent link: https://www.econbiz.de/10010836988

International channels of the Fed's unconventional monetary policy

Bauer, Michael D.; Neely, Christopher J. - In: Journal of international money and finance 44 (2014), pp. 24-46

Persistent link: https://www.econbiz.de/10010391093

Bayesian Factor Selection in Dynamic Term Structure Models

Laurini, Márcio - IBMEC Business School - Rio de Janeiro - 2011

This paper discusses Bayesian procedures for factor selection in dynamic term structure models through simulation …

Persistent link: https://www.econbiz.de/10009001791

Term Structure Estimation with Survey Data on Interest Rate Forecasts

Kim, Don H.; Orphanides, Athanasios - C.E.P.R. Discussion Papers - 2005

The estimation of dynamic no-arbitrage term structure models with a flexible specification of the market price of risk is beset by a severe small-sample problem arising from the highly persistent nature of interest rates. We propose using survey forecasts of a short-term interest rate as an...

Persistent link: https://www.econbiz.de/10005067482