Search Results - subject:"Siegel"

Chu, Kam - In: Open Economies Review 16 (2005) 4, pp. 399-405

The Siegel Paradox in international finance arises because the equilibrium conditions in foreign exchange markets … violate Jensen's Inequality. This paper shows that in the original risk-neutral framework (Siegel, 1972), or more accurately a …

Persistent link: https://www.econbiz.de/10005715111

Yield Curve Modeling and Forecasting: The Dynamic Nelson-Siegel Approach

Diebold, Francis X.; Rudebusch, Glenn D. - Princeton University Press

extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful …. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it …

Persistent link: https://www.econbiz.de/10011241751

Umweltsiegel im Welthandel : eine institutionenökonomische Analyse am Beispiel der globalen Warenkette von Kaffee

Mayer, Claudia - 2003

Persistent link: https://www.econbiz.de/10001808237

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

. Using the parsimonious Nelson-Siegel functional form, we provide daily estimates of the sovereign ZCYC using information on …

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

Projecting the Forward Rate Flow on a Finite Dimensional Manifold

Bayraktar, Erhan; Chen, Li; Poor, H. Vincent - EconWPA - 2003

Given an Heath-Jarrow-Morton (HJM) interest rate model and a parametrized family of finite dimensional forward rate curves, this paper provides us a way to project this infinite dimensional HJM forward rate curve to the finite dimensional manifold. This projection characterizes banks' behavior...

Persistent link: https://www.econbiz.de/10005561636