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Search: subject:"term structure models"
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Zinsstruktur
122
Yield curve
113
Theorie
69
Theory
63
Schätzung
51
Estimation
49
Affine term structure models
43
Risikoprämie
38
Risk premium
36
term structure models
35
Term structure models
28
Kapitaleinkommen
26
affine term structure models
26
Geldpolitik
25
Anleihe
24
Capital income
24
Monetary policy
24
Prognoseverfahren
23
Bond
22
USA
22
Forecasting model
20
Volatilität
20
CAPM
19
Volatility
18
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
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Free
126
Undetermined
82
CC license
3
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Book / Working Paper
129
Article
106
Other
3
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Article in journal
75
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75
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60
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37
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37
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36
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4
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1
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English
164
Undetermined
73
Spanish
1
Author
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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
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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
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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
Energy economics
2
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Source
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ECONIS (ZBW)
113
RePEc
93
EconStor
28
BASE
4
Showing
71
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238
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71
Dynamic refinement of the term structure: time-homogeneous term structure modeling
Fries, Christian
- In:
The journal of computational finance
24
(
2020
)
1
,
pp. 103-129
Persistent link: https://www.econbiz.de/10012421963
Saved in:
72
Bond risk premia and the return forecasting factor
Gutierrez, Agustin
;
Hevia, Constantino
;
Sola, Martin
- In:
Studies in nonlinear dynamics and econometrics : SNDE ; …
24
(
2020
)
1
,
pp. 1-12
Persistent link: https://www.econbiz.de/10012198495
Saved in:
73
Unifying Gaussian dynamic
term
structure
models
from a Heath-Jarrow-Morton perspective
Li, Haitao
;
Ye, Xiaoxia
;
Yu, Fan
- In:
European journal of operational research : EJOR
286
(
2020
)
3
,
pp. 1153-1167
Persistent link: https://www.econbiz.de/10012291633
Saved in:
74
Principal-component-based Gaussian affine
term
structure
models
: constraints and their financial implications
Rebonato, Riccardo
;
Saroka, Ivan
;
Putiatyn, Vlad
- In:
International journal of theoretical and applied finance
23
(
2020
)
2
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012270944
Saved in:
75
A note on real-world and risk-neutral dynamics for Heath-Jarrow-Morton frameworks
Criens, David
- In:
International journal of theoretical and applied finance
23
(
2020
)
3
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012270996
Saved in:
76
Is there an on-the-run premium in TIPS?
Christensen, Jens H. E.
;
López, José A.
;
Shultz, …
- In:
The quarterly journal of finance
10
(
2020
)
2
,
pp. 1-42
Persistent link: https://www.econbiz.de/10012423565
Saved in:
77
The term structure of interest rates and the macroeconomy: Learning about economic dynamics from a FAVAR
Halberstadt, Arne
-
2015
Expectations about macroeconomic developments are important determinants of long term interest rates. In this paper, I compare two different assumptions on how agents may form their expectations about the economy and yields in a pseudo real time exercise. Based on the no-arbitrage...
Persistent link: https://www.econbiz.de/10010471489
Saved in:
78
Resolving the Spanning Puzzle in Macro-Finance
Term
Structure
Models
Bauer, Michael D.
;
Rudebusch, Glenn D.
-
2015
Previous macro-finance
term
structure
models
(MTSMs) imply that macroeconomic state variables are spanned by (i …
Persistent link: https://www.econbiz.de/10010480900
Saved in:
79
GMM estimation of affine
term
structure
models
Hlouskova, Jaroslava
;
Sögner, Leopold
-
2015
This article investigates parameter estimation of affine
term
structure
models
by means of the generalized method of …
Persistent link: https://www.econbiz.de/10011381915
Saved in:
80
Resolving the spanning puzzle in macro-finance
term
structure
models
Bauer, Michael Dominic
;
Rudebusch, Glenn
-
Federal Reserve Bank of San Francisco
-
2015
Previous macro-finance
term
structure
models
(MTSMs) imply that macroeconomic state variables are spanned by (i …
Persistent link: https://www.econbiz.de/10011123659
Saved in:
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