EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"term structure models"
Narrow search

Narrow search

Year of publication
Subject
All
Zinsstruktur 121 Yield curve 112 Theorie 69 Theory 63 Schätzung 51 Estimation 49 Affine term structure models 42 Risikoprämie 37 Risk premium 35 term structure models 35 Term structure models 28 affine term structure models 26 Geldpolitik 25 Kapitaleinkommen 25 Monetary policy 24 Anleihe 23 Capital income 23 Prognoseverfahren 23 USA 22 Bond 21 Forecasting model 20 CAPM 19 Volatilität 19 Volatility 17 United States 16 Option pricing theory 15 Optionspreistheorie 15 monetary policy 15 Term Structure Models 14 Öffentliche Anleihe 14 Public bond 13 Stochastic process 13 Stochastischer Prozess 13 Zins 12 Zustandsraummodell 12 Affine Term Structure Models 11 Estimation theory 11 Interest rate 11 Low-interest-rate policy 11 Niedrigzinspolitik 11
more ... less ...
Online availability
All
Free 127 Undetermined 82 CC license 3
Type of publication
All
Book / Working Paper 129 Article 105 Other 3
Type of publication (narrower categories)
All
Article in journal 74 Aufsatz in Zeitschrift 74 Working Paper 60 Graue Literatur 37 Non-commercial literature 37 Arbeitspapier 36 Article 4 Aufsatzsammlung 1 Hochschulschrift 1 Report 1
more ... less ...
Language
All
English 163 Undetermined 73 Spanish 1
Author
All
Giacomini, Raffaella 10 Altavilla, Carlo 8 Halberstadt, Arne 8 Ragusa, Giuseppe 8 Kaminska, Iryna 7 Meldrum, Andrew 7 Rudebusch, Glenn D. 7 Lemke, Wolfgang 6 Bauer, Michael D. 5 Krippner, Leo 5 Realdon, Marco 5 Chen, Li 4 Macrina, Andrea 4 Mumtaz, Haroon 4 Nyholm, Ken 4 Orphanides, Athanasios 4 Poghosyan, Tigran 4 Poor, H. Vincent 4 Sögner, Leopold 4 Vidova-Koleva, Rositsa 4 Werner, Thomas 4 Wu, Jing Cynthia 4 Zinna, Gabriele 4 Alloza, Mario 3 Baumeister, Christiane 3 Breach, Tomas 3 Carriero, Andrea 3 Chiarella, Carl 3 Christensen, Jens H. E. 3 Coroneo, Laura 3 Costain, James 3 D'Amico, Stefania 3 Dorion, Christian 3 Fendel, Ralf 3 Hamilton, James D. 3 Hevia, Constantino 3 Hurtado, Samuel 3 Jacobs, Kris 3 Karoui, Lotfi 3 Lautier, Delphine 3
more ... less ...
Institution
All
EconWPA 7 European Central Bank 7 Deutsche Bundesbank 5 Banque de France 4 HAL 4 Society for Computational Economics - SCE 4 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 4 School of Economics and Management, University of Aarhus 3 University of Bonn, Germany 3 Bank of England 2 C.E.P.R. Discussion Papers 2 Econometric Society 2 Banca d'Italia 1 CESifo 1 Center for Economic Research and Graduate Education and Economics Institute (CERGE-EI) 1 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 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 Department of Economics and Related Studies, University of York 1 Department of Economics, Boston College 1 Département des Études Économiques d'Ensemble (D3E), Institut National de la Statistique et des Études Économiques (INSEE) 1 Federal Reserve Bank of San Francisco 1 Federal Reserve Board (Board of Governors of the Federal Reserve System) 1 Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues - GEWISOLA 1 IBMEC Business School - Rio de Janeiro 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Tilburg University, Center for Economic Research 1 Université Paris-Dauphine 1 Université Paris-Dauphine (Paris IX) 1 William Davidson Institute, University of Michigan 1 de Nederlandsche Bank 1
more ... less ...
Published in...
All
ECB Working Paper 7 Working Paper Series / European Central Bank 7 Management science : journal of the Institute for Operations Research and the Management Sciences 6 Finance 5 International Journal of Theoretical and Applied Finance (IJTAF) 5 MPRA Paper 4 Quantitative finance 4 Risks : open access journal 4 Staff working papers / Bank of England 4 Working papers / Banque de France 4 CAMA working paper series 3 CREATES Research Papers 3 Discussion Paper Serie B 3 Discussion Paper Series 1 3 Discussion Paper Series 1: Economic Studies 3 Discussion papers / CEPR 3 Finance and Stochastics 3 International journal of theoretical and applied finance 3 Journal of economic dynamics & control 3 Journal of empirical finance 3 Post-Print / HAL 3 Review of finance : journal of the European Finance Association 3 Risks 3 The quarterly journal of finance 3 Annals of Finance 2 Applied Mathematical Finance 2 Bank of England working papers 2 Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society 2 Bundesbank Discussion Paper 2 CEPR Discussion Papers 2 CESifo Working Paper 2 CESifo working papers 2 CREATES research paper 2 Computing in Economics and Finance 2003 2 Discussion Papers / Deutsche Bundesbank 2 Discussion paper 2 Discussion paper / Centre for Economic Policy Research 2 Econometrics 2 Economics Bulletin 2 Finance and economics discussion series 2
more ... less ...
Source
All
ECONIS (ZBW) 112 RePEc 93 EconStor 28 BASE 4
Showing 211 - 220 of 237
Cover Image
ON ERRORS AND BIAS OF FOURIER TRANSFORM METHODS IN QUADRATIC TERM STRUCTURE MODELS
BOYARCHENKO, NINA; LEVENDORSKIǏ, SERGEI - In: International Journal of Theoretical and Applied … 10 (2007) 02, pp. 273-306
We analyze and compare the performance of the Fourier transform method in affine and quadratic term structure models …
Persistent link: https://www.econbiz.de/10005060194
Saved in:
Cover Image
Factor Models and the Shape of the Term Structure
Schloegl, Erik; Sommer, Daniel - University of Bonn, Germany - 1997
he present paper analyses a broad range of one- and multifactor models of the term structure of interest rates. We assess the influence of the number of factors, mean reversion, and the factor probability distributions on the term structure shapes the models generate, and use spread options as...
Persistent link: https://www.econbiz.de/10004968267
Saved in:
Cover Image
The Ex Ante Predictive Accuracy of Alternative Models of the Term Structure of Interest Rates
Bekdache, Basma; Baum, Christopher F. - Department of Economics, Boston College - 1997
This paper compares six term structure estimation methods empirically in terms of zero and forward rate curves as well as ex ante price and yield prediction accuracy. Specifically, we use daily government bond quotations to generate true out-of-sample prediction errors based on the model's...
Persistent link: https://www.econbiz.de/10004968867
Saved in:
Cover Image
Log-Normal Interest Rate Models: Stability and Methodology
Sandmann, Klaus; Sondermann, Dieter - University of Bonn, Germany - 1997
these problems disappear. Second to give a survey on recent work on lognormal term structure models for effective or nominal …
Persistent link: https://www.econbiz.de/10005028470
Saved in:
Cover Image
Consistency conditions for affine term structure models
LevendorskiĬ, Sergei - In: Annals of Finance 2 (2006) 2, pp. 207-224
Persistent link: https://www.econbiz.de/10005808846
Saved in:
Cover Image
What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?
Akahori, Jirô; Tsuchiya, Takahiro - In: Asia-Pacific Financial Markets 13 (2006) 4, pp. 299-313
Persistent link: https://www.econbiz.de/10005727077
Saved in:
Cover Image
Macroeconomic factors in the term structure of interest rates when agents learn
Laubach, Thomas; Tetlow, Robert J.; Williams, John C. - Society for Computational Economics - SCE - 2006
Finance models of the term structure of interest rates have for a long time relied on unobserved factors as explanatory variables. In a seminal paper, Ang and Piazzesi (2003) have examined the potential role of macroeconomic variables in explaining the term structure. They, and subsequent...
Persistent link: https://www.econbiz.de/10005342858
Saved in:
Cover Image
AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING
ALMEIDA, CAIO IBSEN RODRIGUES DE - In: International Journal of Theoretical and Applied … 08 (2005) 02, pp. 161-184
Multivariate Affine term structure models have been increasingly used for pricing derivatives in fixed income markets …
Persistent link: https://www.econbiz.de/10004971774
Saved in:
Cover Image
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 …
Persistent link: https://www.econbiz.de/10005067482
Saved in:
Cover Image
Modelling International Bond Markets with Affine Term Structure Models
Mosburger, Georg; Schneider, Paul - EconWPA - 2005
This paper investigates the performance of international affine term structure models (ATSMs) that are driven by a …
Persistent link: https://www.econbiz.de/10005134688
Saved in:
  • First
  • Prev
  • 14
  • 15
  • 16
  • 17
  • 18
  • 19
  • 20
  • 21
  • 22
  • 23
  • 24
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...