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  • Search: subject:"Term structure model"
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Year of publication
Subject
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Zinsstruktur 16,158 Yield curve 16,117 Theorie 6,404 Theory 6,404 Zins 2,863 Interest rate 2,828 Public bond 2,638 Öffentliche Anleihe 2,638 Schätzung 2,624 Estimation 2,623 Risikoprämie 2,515 Risk premium 2,514 Geldpolitik 2,450 Monetary policy 2,441 USA 2,139 United States 2,125 Anleihe 1,829 Bond 1,822 Capital income 1,718 Kapitaleinkommen 1,718 Kreditrisiko 1,666 Credit risk 1,659 Volatilität 1,327 Volatility 1,323 EU countries 1,266 EU-Staaten 1,266 Prognoseverfahren 1,177 Forecasting model 1,176 Optionspreistheorie 1,097 Option pricing theory 1,095 Corporate bond 1,069 Unternehmensanleihe 1,069 Euro area 1,048 Eurozone 1,048 Interest rate derivative 1,005 Zinsderivat 1,004 CAPM 845 Rentenmarkt 801 Bond market 790 Welt 743
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Online availability
All
Free 6,817 Undetermined 3,079 CC license 194 Digitizable 4
Type of publication
All
Book / Working Paper 8,689 Article 7,570 Journal 4 Other 1
Subcategories
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Article in journal 6,893 Working paper 3,991 Book section 435 Proceedings 79 Textbook 24 Government document 23 Literature review 17 Case study 8 Glossary included 4 Review 4 Statistics 4 Handbook 2 Guidebook 1 Introduction 1 Reference work 1
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Language
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English 15,497 German 373 Spanish 126 French 123 Undetermined 62 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
All
Rudebusch, Glenn D. 102 Christensen, Jens H. E. 76 Akram, Tanweer 74 Favero, Carlo A. 66 Wright, Jonathan H. 55 Wu, Jing Cynthia 55 Bekaert, Geert 54 Afonso, António 50 Chernov, Mikhail 50 Monfort, Alain 48 Caporale, Guglielmo Maria 47 Krippner, Leo 47 Dewachter, Hans 46 Renne, Jean-Paul 46 Diebold, Francis X. 44 Bauer, Michael D. 43 Campbell, John Y. 43 Chiarella, Carl 42 Gollier, Christian 42 Hördahl, Peter 42 Mishkin, Frederic S. 42 Hamilton, James D. 41 Kim, Don H. 41 Wei, Min 41 Schlögl, Erik 40 Thornton, Daniel L. 40 Kaminska, Iryna 38 Lemke, Wolfgang 38 Fabozzi, Frank J. 37 Sarno, Lucio 37 Lyrio, Marco 36 Filipović, Damir 35 Gouriéroux, Christian 35 Friedman, Benjamin M. 34 Goldstein, Robert S. 34 Joshi, Mark S. 34 Singleton, Kenneth J. 33 Jarrow, Robert A. 32 Meldrum, Andrew 32 Mönch, Emanuel 32
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Institution
All
National Bureau of Economic Research 295 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...
All
NBER working paper series 291 Working paper / National Bureau of Economic Research, Inc. 238 NBER Working Paper 236 Journal of banking & finance 227 Journal of financial economics 139 Journal of international money and finance 139 The journal of fixed income 137 Finance research letters 132 Discussion paper / Centre for Economic Policy Research 131 Finance and economics discussion series 124 International journal of theoretical and applied finance 121 Working paper series / European Central Bank 114 Journal of money, credit and banking : JMCB 110 Working paper 107 Economics letters 106 IMF working papers 105 The journal of finance : the journal of the American Finance Association 102 International review of economics & finance : IREF 100 Applied economics 95 The review of financial studies 94 International review of financial analysis 89 Journal of empirical finance 89 Journal of monetary economics 84 Economic modelling 81 Discussion papers / CEPR 80 Applied financial economics 79 Journal of economic dynamics & control 77 Working papers series / Federal Reserve Bank of San Francisco 74 CESifo working papers 72 Mathematical finance : an international journal of mathematics, statistics and financial theory 70 ECB Working Paper 69 Journal of financial and quantitative analysis : JFQA 69 Applied economics letters 68 Journal of international financial markets, institutions & money 68 Discussion paper 67 The journal of futures markets 66 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 Staff reports / Federal Reserve Bank of New York 56
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Source
All
ECONIS (ZBW) 16,117 RePEc 75 USB Cologne (business full texts) 41 EconStor 18 Other ZBW resources 11 BASE 2
Showing 1 - 10 of 13,238
 
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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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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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Estimating the natural rate of interest in a macro-finance yield curve model
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2025
Using a novel macro-finance model we infer jointly the equilibrium real interest rate r*t, trend inflation, interest rate expectations, and bond risk premia for the United States. In the model r*t plays a dual macro-finance role: as the benchmark real interest rate that closes the output gap and...
Persistent link: https://www.econbiz.de/10015592018
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An analytical framework to price long-dated climate-exposed assets
Chikhani, Pauline; Renne, Jean-Paul - 2025
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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Estimating the OIS term premium with analyst expectation surveys
Barahona, Ricardo; Rodríguez-Moreno, María - 2024
Persistent link: https://www.econbiz.de/10014632124
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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 - 2025
Persistent link: https://www.econbiz.de/10015184964
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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
Book / Working Paper
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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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Inflation expectations, liquidity premia and global spillovers in Japanese bond markets
Christensen, Jens H. E.; Spiegel, Mark - 2024
Persistent link: https://www.econbiz.de/10014533476
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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 rates, which we assume span core inflation. The model...
Persistent link: https://www.econbiz.de/10014490417
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Measuring market-based core inflation expectations
Grønlund, Asger Munch; Jørgensen, Kasper; Schupp, Fabian - 2024
Book / Working Paper
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