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  • Search: subject:"term structure model"
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Year of publication
Subject
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Zinsstruktur 15,767 Yield curve 15,726 Theorie 6,260 Theory 6,260 Zins 2,780 Interest rate 2,745 Public bond 2,558 Schätzung 2,558 Öffentliche Anleihe 2,558 Estimation 2,557 Risikoprämie 2,442 Risk premium 2,441 Geldpolitik 2,346 Monetary policy 2,337 USA 2,070 United States 2,056 Anleihe 1,768 Bond 1,761 Capital income 1,666 Kapitaleinkommen 1,666 Kreditrisiko 1,625 Credit risk 1,618 Volatilität 1,300 Volatility 1,296 EU countries 1,241 EU-Staaten 1,241 Prognoseverfahren 1,145 Forecasting model 1,144 Optionspreistheorie 1,084 Option pricing theory 1,082 Corporate bond 1,035 Unternehmensanleihe 1,035 Euro area 1,022 Eurozone 1,022 Interest rate derivative 995 Zinsderivat 995 CAPM 827 Rentenmarkt 767 Bond market 757 Welt 722
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Online availability
All
Free 6,594 Undetermined 2,797 CC license 178
Type of publication
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Book / Working Paper 8,462 Article 7,395 Journal 4 Other 1
Type of publication (narrower categories)
All
Article in journal 6,707 Aufsatz in Zeitschrift 6,707 Graue Literatur 3,790 Non-commercial literature 3,790 Working Paper 3,747 Arbeitspapier 3,733 Aufsatz im Buch 435 Book section 435 Hochschulschrift 391 Thesis 307 Collection of articles written by one author 92 Sammlung 92 Collection of articles of several authors 48 Conference paper 48 Konferenzbeitrag 48 Sammelwerk 48 Bibliografie enthalten 46 Bibliography included 46 Konferenzschrift 29 Lehrbuch 24 Aufsatzsammlung 23 Textbook 23 Amtsdruckschrift 21 Forschungsbericht 21 Government document 21 Systematic review 17 Übersichtsarbeit 17 Conference proceedings 16 Mikroform 12 Case study 8 Fallstudie 8 Bibliografie 5 Reprint 5 Glossar enthalten 4 Glossary included 4 Rezension 4 Statistik 4 Article 3 Statistics 3 Accompanied by computer file 2
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Language
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English 15,098 German 373 Spanish 126 French 123 Undetermined 59 Portuguese 28 Italian 20 Polish 10 Dutch 9 Danish 6 Hungarian 6 Norwegian 5 Czech 2 Finnish 2 Croatian 2 Korean 1 Romanian 1 Russian 1 Turkish 1
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Author
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Rudebusch, Glenn D. 103 Akram, Tanweer 73 Christensen, Jens H. E. 72 Favero, Carlo A. 55 Wu, Jing Cynthia 55 Wright, Jonathan H. 54 Bekaert, Geert 51 Afonso, António 48 Monfort, Alain 48 Chernov, Mikhail 47 Krippner, Leo 47 Dewachter, Hans 46 Renne, Jean-Paul 46 Diebold, Francis X. 45 Caporale, Guglielmo Maria 44 Bauer, Michael D. 43 Campbell, John Y. 42 Chiarella, Carl 42 Gollier, Christian 42 Mishkin, Frederic S. 42 Hamilton, James D. 41 Wei, Min 41 Hördahl, Peter 40 Kim, Don H. 40 Schlögl, Erik 40 Fabozzi, Frank J. 36 Kaminska, Iryna 36 Lemke, Wolfgang 36 Lyrio, Marco 36 Thornton, Daniel L. 36 Gouriéroux, Christian 35 Friedman, Benjamin M. 34 Goldstein, Robert S. 34 Joshi, Mark S. 34 Singleton, Kenneth J. 33 Filipović, Damir 32 Jarrow, Robert A. 32 Meldrum, Andrew 32 Mönch, Emanuel 31 Batten, Jonathan A. 30
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Institution
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National Bureau of Economic Research 293 Institut für Schweizerisches Bankwesen <Zürich> 19 Centre for Analytical Finance <Århus> 14 Federal Reserve Bank of San Francisco 12 Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse 12 European Central Bank 11 Centrum voor Economische Studiën, Faculteit Economie en Bedrijfswetenschappen 10 Ekonomiska forskningsinstitutet <Stockholm> 10 International Monetary Fund 9 Federal Reserve Bank of St. Louis 8 University of Exeter / Department of Economics 7 Banque de France / Direction des Etudes Economiques et de la Recherche 6 European Parliament / Directorate-General for Internal Policies of the Union 6 Federal Reserve Bank of Cleveland 5 National Centre of Competence in Research North South <Bern> 5 OECD 5 Rodney L. White Center for Financial Research 5 Sonderforschungsbereich Ökonomisches Risiko <Berlin> 5 Banco Central do Brasil 4 Bank of England 4 Federal Reserve Bank of New York 4 Federal Reserve System / Division of Research and Statistics 4 Internationaler Währungsfonds / European Department <1> 4 Springer Fachmedien Wiesbaden 4 Unité Mixte de Recherche Théorie Economique, Modélisation et Applications 4 Weierstraß-Institut für Angewandte Analysis und Stochastik 4 World Bank 4 Crawford School of Public Policy, Australian National University 3 Department of Economics and Related Studies, University of York 3 Deutsche Forschungsgemeinschaft 3 Erasmus Research Institute of Management 3 Europäische Zentralbank 3 Innocenzo Gasparini Institute for Economic Research <Mailand> 3 International Center for Financial Asset Management and Engineering 3 Internationaler Währungsfonds 3 Internationaler Währungsfonds / Research Department 3 Reserve Bank of New Zealand 3 University of York / Department of Economics and Related Studies 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Banca d'Italia 2
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Published in...
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NBER working paper series 289 Working paper / National Bureau of Economic Research, Inc. 238 NBER Working Paper 236 Journal of banking & finance 227 The journal of fixed income 137 Journal of international money and finance 133 Discussion paper / Centre for Economic Policy Research 131 Finance research letters 131 Journal of financial economics 128 International journal of theoretical and applied finance 121 Finance and economics discussion series 119 Working paper series / European Central Bank 111 Journal of money, credit and banking : JMCB 110 Economics letters 106 IMF working papers 105 Working paper 105 International review of economics & finance : IREF 100 The journal of finance : the journal of the American Finance Association 100 The review of financial studies 94 Applied economics 92 Journal of empirical finance 82 Economic modelling 81 Journal of monetary economics 80 Applied financial economics 79 Journal of economic dynamics & control 77 Discussion papers / CEPR 74 International review of financial analysis 73 Working papers series / Federal Reserve Bank of San Francisco 72 Mathematical finance : an international journal of mathematics, statistics and financial theory 70 ECB Working Paper 69 Applied economics letters 68 Journal of international financial markets, institutions & money 68 CESifo working papers 67 Discussion paper 67 The journal of futures markets 66 Journal of financial and quantitative analysis : JFQA 65 The North American journal of economics and finance : a journal of financial economics studies 60 The European journal of finance 58 Journal of econometrics 56 Finance and stochastics 54
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Source
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ECONIS (ZBW) 15,726 RePEc 75 USB Cologne (business full texts) 41 EconStor 18 BASE 2
Showing 1 - 10 of 15,862
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Joint estimation of liquidity and credit risk premia in bond prices with an application
Christensen, Jens H. E.; Steenkamp, Daan - 2025
Persistent link: https://www.econbiz.de/10015406262
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German inflation-linked bonds : overpriced, yet undervalued
Christensen, Jens H. E.; Mouabbi, Sarah; Paulson, Caroline - 2025 - This version: January 30, 2025
Persistent link: https://www.econbiz.de/10015210558
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An analytical framework to price long-dated climate-exposed assets
Chikhani, Pauline; Renne, Jean-Paul - In: Quantitative economics : QE ; journal of the … 16 (2025) 4, pp. 1093-1146
This paper uses a tractable stochastic integrated‐assessment model to analyze the influence of climate change on asset returns across time and maturity. Quasi‐analytical, or recursive, formulas allow to price various long‐dated assets, including fixed‐income products, derivatives, and...
Persistent link: https://www.econbiz.de/10015533229
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Effects and side effects of unconventional monetary policy : a shadow rate approach
Hirata, Atsuki; Kaihatsu, Sohei; Kasai, Yoshiyasu; … - 2024
Persistent link: https://www.econbiz.de/10015185047
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Macroeconomic drivers of inflation expectations and inflation risk premia
Boeckx, Jef; Iania, Leonardo; Wauters, Joris - 2024
no-arbitrage term structure model with stochastic endpoints, separating macroeconomic variables into transitory parts and …
Persistent link: https://www.econbiz.de/10014481266
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Measuring market-based core inflation expectations
Grønlund, Asger Munch; Jørgensen, Kasper; Schupp, Fabian - 2024
We build a novel term structure model for pricing synthetic euro area core inflation-linked swaps, a hypothetical swap … contract indexed to core inflation. Our approach relies on a term structure model of traded headline inflation-linked swap …
Persistent link: https://www.econbiz.de/10014490417
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Market-based estimates of the natural real rate : evidence from Latin American bond markets
Ceballos, Luis; Christensen, Jens H. E.; Romero, Damian - 2024
Persistent link: https://www.econbiz.de/10014467441
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Measuring market-based core inflation expectations
Grønlund, Asger Munch; Jørgensen, Kasper; Schupp, Fabian - 2024
We build a novel term structure model for pricing synthetic euro area core inflation-linked swaps, a hypothetical swap … contract indexed to core inflation. Our approach relies on a term structure model of traded headline inflation-linked swap …
Persistent link: https://www.econbiz.de/10014513976
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A post-pandemic new normal for interest rates in emerging bond markets? : evidence from Chile
Ceballos, Luis; Christensen, Jens H. E.; Romero, Damian - 2024
Persistent link: https://www.econbiz.de/10014533411
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The natural rate of interest in the euro area : evidence from inflation-indexed bonds
Christensen, Jens H. E.; Mouabbi, Sarah - 2024
Persistent link: https://www.econbiz.de/10014533441
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