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Essays In Term Structure Modelling
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Book Synopsis Essays in Term Structure Modelling and Bond Returns Forecasting by : Mikhail Pranovich
Download or read book Essays in Term Structure Modelling and Bond Returns Forecasting written by Mikhail Pranovich and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays On The Theory And Estimation Of Term Structure Models by : Pedro Santa-Clara
Download or read book Essays On The Theory And Estimation Of Term Structure Models written by Pedro Santa-Clara and published by . This book was released on 1997 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Term Structure Modeling by : Theofanis Archontakis
Download or read book Essays on Term Structure Modeling written by Theofanis Archontakis and published by . This book was released on 2007 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Term Structure Models by : Guoqiang Sun
Download or read book Essays on Term Structure Models written by Guoqiang Sun and published by . This book was released on 1998 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Ph. D.-serie written by Sebastian Fux and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Empirical Term Structure Modeling by : Feng Zhao
Download or read book Essays on Empirical Term Structure Modeling written by Feng Zhao and published by . This book was released on 2004 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Two Essays on Estimation and Inference of Affine Term Structure Models by : Qian Wang
Download or read book Two Essays on Estimation and Inference of Affine Term Structure Models written by Qian Wang and published by . This book was released on 2015 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt: Affine term structure models (ATSMs) are one set of popular models for yield curve modeling. Given that the models forecast yields based on the speed of mean reversion, under what circumstances can we distinguish one ATSM from another? The objective of my dissertation is to quantify the benefit of knowing the “true” model as well as the cost of being wrong when choosing between ATSMs. In particular, I detail the power of out-of-sample forecasts to statistically distinguish one ATSM from another given that we only know the data are generated from an ATSM and are observed without errors. My study analyzes the power and size of affine term structure models (ATSMs) by evaluating their relative out-of-sample performance. Essay one focuses on the study of the one-factor ATSMs. I find that the model’s predictive ability is closely related to the bias of mean reversion estimates no matter what the true model is. The smaller the bias of the estimate of the mean reversion speed, the better the out-of-sample forecasts. In addition, my finding shows that the models' forecasting accuracy can be improved, in contrast, the power to distinguish between. different ATSMs will be reduced if the data are simulated from a high mean reversion process with a large sample size and with a high sampling frequency. In the second essay, I extend the question of interest to the multi-factor ATSMs. My finding shows that adding more factors in the ATSMs does not improve models' predictive ability. But it increases the models' power to distinguish between each other. The multi-factor ATSMs with larger sample size and longer time span will have more predictive ability and stronger power to differentiate between models.
Book Synopsis Essays on Term Structure Models by : Sarah Mouabbi
Download or read book Essays on Term Structure Models written by Sarah Mouabbi and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on the Term Structure of Interest Rates by : Wei Shi
Download or read book Essays on the Term Structure of Interest Rates written by Wei Shi and published by . This book was released on 1995 with total page 198 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Term Structure Modelling by : Jes Taulbjerg
Download or read book Essays in Term Structure Modelling written by Jes Taulbjerg and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Non-linear Term Structure Modelling by : Peter Mikkelsen
Download or read book Essays in Non-linear Term Structure Modelling written by Peter Mikkelsen and published by . This book was released on 2002 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on the Term Structure of Interest Rates, Monetary Policy, and Business Cycle by : Tong-hŏn Kim
Download or read book Essays on the Term Structure of Interest Rates, Monetary Policy, and Business Cycle written by Tong-hŏn Kim and published by . This book was released on 2000 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Three Essays on the Term Structure by : Robin James Brenner
Download or read book Three Essays on the Term Structure written by Robin James Brenner and published by . This book was released on 1989 with total page 508 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Ph. D.-serie written by Sebastian Fux and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Derivatives by : Don M. Chance
Download or read book Essays in Derivatives written by Don M. Chance and published by John Wiley & Sons. This book was released on 2011-07-05 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the updated second edition of Don Chance’s well-received Essays in Derivatives, the author once again keeps derivatives simple enough for the beginner, but offers enough in-depth information to satisfy even the most experienced investor. This book provides up-to-date and detailed coverage of various financial products related to derivatives and contains completely new chapters covering subjects that include why derivatives are used, forward and futures pricing, operational risk, and best practices.
Book Synopsis Essays on asset liabilty modelling by : David Frederik Schrager
Download or read book Essays on asset liabilty modelling written by David Frederik Schrager and published by Rozenberg Publishers. This book was released on 2007 with total page 195 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on the Term Structure of Interest Rates by : Lance Alexander Fisher
Download or read book Essays on the Term Structure of Interest Rates written by Lance Alexander Fisher and published by . This book was released on 1988 with total page 392 pages. Available in PDF, EPUB and Kindle. Book excerpt: