Search Results - subject:"zero-coupon yield"

A new measure of price sensitivity to interest rate changes

Stádník, Bohumil - In: International journal of economics and business … 29 (2025) 3/5, pp. 264-284

Persistent link: https://www.econbiz.de/10015405046

Choosing the weighting coefficients for estimating the term structure from sovereign bonds

Lapshin, Victor; Sohatskaya, Sofia - In: International review of economics & finance : IREF 70 (2020), pp. 635-648

Persistent link: https://www.econbiz.de/10012486846

КРИВАЯ БЕСКУПОННОЙ ДОХОДНОСТИ КАК ИНДИКАТОР КРИЗИСНЫХ ЯВЛЕНИЙ НА РОССИЙСКОМ ФИНАНСОВОМ РЫНКЕ

АЛЕКСАНДРОВИЧ, ПАРФЕНОВ … - In: Вестник Омского университета. … (2012) 3, pp. 159-164

Статья посвящена анализу деформаций кривой бескупонной доходности по российским государственным облигациям в условиях российского финансового рынка....

Persistent link: https://www.econbiz.de/10011232429

A Term Structure Decomposition of the Australian Yield Curve

Finlay, Richard; Chambers, Mark - Reserve Bank of Australia - 2008

-free zero-coupon yield and forward curves for Australia from 1992 to 2007. These curves, and analysts’ forecasts of future …

Persistent link: https://www.econbiz.de/10005423607

The US zero-coupon yield spread as a predictor of excess daily stock market volatility

Li, Matthew C. - In: Applied financial economics 24 (2014) 13/15, pp. 889-906

Persistent link: https://www.econbiz.de/10010410398

Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data

Kikuchi, Kentaro; Shintani, Kohei - Institute for Monetary and Economic Studies, Bank of Japan - 2012

) zero coupon yield curve (hereafter, zero curve) according to the criteria that estimation methods should meet. Previous …

Persistent link: https://www.econbiz.de/10010542144

In search of the best zero coupon yield curve for Nairobi securities exchange : interpolation methods vs. parametric models

Muthoni, Lucy - In: Journal of mathematical finance 5 (2015) 4, pp. 360-376

Persistent link: https://www.econbiz.de/10011439125

Comparative Analysis of Zero Coupon Yield Curve Estimation Methods Using JGB Price Data

Kikuchi, Kentaro; Shintani, Kohei - In: Monetary and Economic Studies 30 (2012) November, pp. 75-122

) zero coupon yield curve (hereafter, zero curve) according to the criteria that estimation methods should meet. Previous …

Persistent link: https://www.econbiz.de/10010754451

Term Structure of Interest Rates in India: Issues in Estimation and Pricing

Darbha, Gangadhar; Roy, Sudipta Dutta; Pawaskar, Vardhana - In: Indian Economic Review 38 (2003) January, pp. 1-19

The gradual shift to market related rates of interest on government borrowing has now made it possible to estimate the term structure in the Indian debt markets. Estimates of term structure provide the basis for valuation and risk measurement of sovereign and non-sovereign securities. It gives...

Persistent link: https://www.econbiz.de/10005824060