A Tractable Framework for Zero Lower Bound Gaussian Term Structure Models
Author | : Leo Krippner |
Publisher | : |
Total Pages | : |
Release | : 2013 |
ISBN-10 | : OCLC:862410426 |
ISBN-13 | : |
Rating | : 4/5 (26 Downloads) |
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Author | : Leo Krippner |
Publisher | : |
Total Pages | : |
Release | : 2013 |
ISBN-10 | : OCLC:862410426 |
ISBN-13 | : |
Rating | : 4/5 (26 Downloads) |
Author | : L. Krippner |
Publisher | : Springer |
Total Pages | : 436 |
Release | : 2015-01-05 |
ISBN-10 | : 9781137401823 |
ISBN-13 | : 1137401826 |
Rating | : 4/5 (23 Downloads) |
Nominal yields on government debt in several countries have fallen very near their zero lower bound (ZLB), causing a liquidity trap and limiting the capacity to stimulate economic growth. This book provides a comprehensive reference to ZLB structure modeling in an applied setting.
Author | : Cheng Few Lee |
Publisher | : World Scientific |
Total Pages | : 5053 |
Release | : 2020-07-30 |
ISBN-10 | : 9789811202407 |
ISBN-13 | : 9811202400 |
Rating | : 4/5 (07 Downloads) |
This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Author | : Siem Jan Koopman |
Publisher | : Emerald Group Publishing |
Total Pages | : 685 |
Release | : 2016-01-08 |
ISBN-10 | : 9781785603525 |
ISBN-13 | : 1785603523 |
Rating | : 4/5 (25 Downloads) |
This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Author | : Iris Claus |
Publisher | : John Wiley & Sons |
Total Pages | : 400 |
Release | : 2019-02-27 |
ISBN-10 | : 9781119565192 |
ISBN-13 | : 1119565197 |
Rating | : 4/5 (92 Downloads) |
The literature surveys presented in this edited volume provide readers with up-to-date reviews on eleven contemporary topics in finance. Topics include unconventional monetary policy, implicit bank guarantees, and financial fraud - all linked to the exceptional event of the Global Financial Crisis Explores how recent studies on inflation risk premia and finance and productivity have benefitted from new empirical methods and the availability of relevant data Demonstrates how angel investing, venture capital, relationship lending and microfinance have benefitted from increased research as they have become more seasoned Investigates crowdfunding and crypto-currencies which have both arisen from recent technological developments
Author | : Margaux MacDonald |
Publisher | : International Monetary Fund |
Total Pages | : 70 |
Release | : 2017-12-01 |
ISBN-10 | : 9781484330944 |
ISBN-13 | : 1484330943 |
Rating | : 4/5 (44 Downloads) |
This paper investigates the effects of unconventional monetary policy in a small open economy. Using recently proposed shadow interest rates to capture unconventional monetary policy at the zero lower bound (ZLB) we estimate a Bayesian structural vector autoregressive model for Canada - a useful case where foreign shocks can be proxied by U.S. variables alone. We find that, during the ZLB period, Canadian unconventional monetary policy increased output (measured by industrial production) by 0.013 percent per month on average while US unconventional monetary policy raised Canadian output by 0.127 percent per month on average. Our results demonstrate the effectiveness of domestic unconventional monetary policy and the strong positive spillover effects that foreign unconventional monetary policies can have in a small open economy.
Author | : Narayan Bulusu |
Publisher | : Springer |
Total Pages | : 406 |
Release | : 2018-07-28 |
ISBN-10 | : 9783319902456 |
ISBN-13 | : 3319902458 |
Rating | : 4/5 (56 Downloads) |
This book covers the latest advances in the theory and practice of public investment management. It includes the most up-to-date developments in the implementation of public asset management – including multiple contributions on portfolio allocation in varying interest-rate and credit-risk environments. Other highlights include implementation, performance attribution and governance issues surrounding reserves management, portfolio construction techniques appropriate for public investors and an in-depth discussion of the challenges to achieving international diversification.
Author | : Mr.Luca Antonio Ricci |
Publisher | : International Monetary Fund |
Total Pages | : 39 |
Release | : 2016-03-23 |
ISBN-10 | : 9781475522921 |
ISBN-13 | : 1475522924 |
Rating | : 4/5 (21 Downloads) |
This paper studies the heterogeneous response across countries of local currency interest rates to foreign and domestic factors, thus contributing to the discussion on the policy trilemma in international economics. On average, floaters appear to be less affected by the U.S. in the short run (up to about one year). However, there is large cross-country heterogeneity in the response: floaters that care less about domestic objectives, exhibit stronger fear of floating, or show higher co-cyclicality with the U.S., respond more to foreign rates. This suggests that floating does not necessarily imply a lack of response of local policy rates to foreign ones, but seems to allow independence when needed. Moreover, the effect of foreign rates on the short end of the local interest rate curve seems to operate mainly via the foreign influence on local policy rates, thus suggesting that central banks may be themselves the source of conduit of the “global credit cycle” discussed by Rey (2014). At the same time, most countries face the equivalent of a “Greenspan conundrum” as their long term rates are mainly influenced by foreign factors.
Author | : Damir Filipovic |
Publisher | : Springer Science & Business Media |
Total Pages | : 259 |
Release | : 2009-07-28 |
ISBN-10 | : 9783540680154 |
ISBN-13 | : 3540680152 |
Rating | : 4/5 (54 Downloads) |
Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
Author | : Iris Claus |
Publisher | : John Wiley & Sons |
Total Pages | : 400 |
Release | : 2019-04-29 |
ISBN-10 | : 9781119565161 |
ISBN-13 | : 1119565162 |
Rating | : 4/5 (61 Downloads) |
The literature surveys presented in this edited volume provide readers with up-to-date reviews on eleven contemporary topics in finance. Topics include unconventional monetary policy, implicit bank guarantees, and financial fraud - all linked to the exceptional event of the Global Financial Crisis Explores how recent studies on inflation risk premia and finance and productivity have benefitted from new empirical methods and the availability of relevant data Demonstrates how angel investing, venture capital, relationship lending and microfinance have benefitted from increased research as they have become more seasoned Investigates crowdfunding and crypto-currencies which have both arisen from recent technological developments