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  • Search: subject:"Term structure models"
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Year of publication
Subject
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Zinsstruktur 119 Yield curve 110 Theorie 57 Schätzung 56 Estimation 54 Theory 51 Affine term structure models 42 Risikoprämie 36 term structure models 35 Risk premium 34 Term structure models 28 Geldpolitik 26 affine term structure models 26 Monetary policy 25 Prognoseverfahren 25 Kapitaleinkommen 23 Forecasting model 22 USA 22 Capital income 21 Option pricing theory 18 Optionspreistheorie 18 Anleihe 17 CAPM 17 Volatilität 17 United States 16 Öffentliche Anleihe 16 Bond 15 Public bond 15 Volatility 15 monetary policy 15 Stochastic process 14 Stochastischer Prozess 14 Term Structure Models 14 Erwartungsbildung 12 Zins 12 Zustandsraummodell 12 Affine Term Structure Models 11 Expectation formation 11 Interest rate 11 Low-interest-rate policy 11
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Online availability
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Free 127 Undetermined 81
Type of publication
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Book / Working Paper 129 Article 104 Other 3
Type of publication (narrower categories)
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Article in journal 73 Aufsatz in Zeitschrift 73 Working Paper 60 Graue Literatur 37 Non-commercial literature 37 Arbeitspapier 36 Article 4 Aufsatzsammlung 1 Hochschulschrift 1 Report 1
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Language
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English 162 Undetermined 73 Spanish 1
Author
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Giacomini, Raffaella 10 Altavilla, Carlo 8 Halberstadt, Arne 8 Ragusa, Giuseppe 8 Kaminska, Iryna 7 Meldrum, Andrew 7 Lemke, Wolfgang 6 Rudebusch, Glenn D. 6 Bauer, Michael D. 5 Krippner, Leo 5 Realdon, Marco 5 Chen, Li 4 Macrina, Andrea 4 Mumtaz, Haroon 4 Nyholm, Ken 4 Orphanides, Athanasios 4 Poghosyan, Tigran 4 Poor, H. Vincent 4 Sögner, Leopold 4 Vidova-Koleva, Rositsa 4 Werner, Thomas 4 Wu, Jing Cynthia 4 Zinna, Gabriele 4 Alloza, Mario 3 Baumeister, Christiane 3 Breach, Tomas 3 Carriero, Andrea 3 Chiarella, Carl 3 Coroneo, Laura 3 Costain, James 3 D'Amico, Stefania 3 Dorion, Christian 3 Fendel, Ralf 3 Hamilton, James D. 3 Hevia, Constantino 3 Hurtado, Samuel 3 Jacobs, Kris 3 Karoui, Lotfi 3 Lautier, Delphine 3 Martínez-Martín, Jaime 3
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Institution
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EconWPA 7 European Central Bank 7 Deutsche Bundesbank 5 Banque de France 4 HAL 4 Society for Computational Economics - SCE 4 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 4 School of Economics and Management, University of Aarhus 3 University of Bonn, Germany 3 Bank of England 2 C.E.P.R. Discussion Papers 2 Econometric Society 2 Banca d'Italia 1 CESifo 1 Center for Economic Research and Graduate Education and Economics Institute (CERGE-EI) 1 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 1 Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Crawford School of Public Policy, Australian National University 1 Department of Economics and Related Studies, University of York 1 Department of Economics, Boston College 1 Département des Études Économiques d'Ensemble (D3E), Institut National de la Statistique et des Études Économiques (INSEE) 1 Federal Reserve Bank of San Francisco 1 Federal Reserve Board (Board of Governors of the Federal Reserve System) 1 Gesellschaft für Wirtschafts- und Sozialwissenschaften des Landbaues - GEWISOLA 1 IBMEC Business School - Rio de Janeiro 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Tilburg University, Center for Economic Research 1 Université Paris-Dauphine 1 Université Paris-Dauphine (Paris IX) 1 William Davidson Institute, University of Michigan 1 de Nederlandsche Bank 1
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Published in...
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ECB Working Paper 7 Working Paper Series / European Central Bank 7 Management science : journal of the Institute for Operations Research and the Management Sciences 6 Finance 5 International Journal of Theoretical and Applied Finance (IJTAF) 5 MPRA Paper 4 Quantitative finance 4 Risks : open access journal 4 Staff working papers / Bank of England 4 Working papers / Banque de France 4 CAMA working paper series 3 CREATES Research Papers 3 Discussion Paper Serie B 3 Discussion Paper Series 1 3 Discussion Paper Series 1: Economic Studies 3 Discussion papers / CEPR 3 Finance and Stochastics 3 International journal of theoretical and applied finance 3 Journal of economic dynamics & control 3 Journal of empirical finance 3 Post-Print / HAL 3 Review of finance : journal of the European Finance Association 3 Risks 3 The quarterly journal of finance 3 Annals of Finance 2 Applied Mathematical Finance 2 Bank of England working papers 2 Brazilian review of econometrics : BRE ; the review of the Brazilian Econometric Society 2 Bundesbank Discussion Paper 2 CEPR Discussion Papers 2 CESifo Working Paper 2 CESifo working papers 2 CREATES research paper 2 Computing in Economics and Finance 2003 2 Discussion Papers / Deutsche Bundesbank 2 Discussion paper 2 Discussion paper / Centre for Economic Policy Research 2 Econometrics 2 Economics Bulletin 2 Finance and economics discussion series 2
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Source
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ECONIS (ZBW) 111 RePEc 93 EconStor 28 BASE 4
Showing 1 - 10 of 236
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Across the borders, above the bounds : a non-linear framework for international yield curves
Coroneo, Laura; Kaminska, Iryna; Pastorello, Sergio - 2024
Persistent link: https://www.econbiz.de/10015050688
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The effect of the European central bank’s asset purchase programmes on Spain’s public finances
Aguilar, Pablo A.; Alloza, Mario; Costain, James; … - 2024
Persistent link: https://www.econbiz.de/10014632117
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Risks and risk premia in the US Treasury market
Li, Junye; Sarno, Lucio; Zinna, Gabriele - In: Journal of economic dynamics & control 158 (2024), pp. 1-24
Persistent link: https://www.econbiz.de/10014532189
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Regime-switching affine term structures
Celary, Andreas; Eksi-Altay, Zehra; Krühner, Paul - In: Quantitative finance 24 (2024) 1, pp. 139-155
Persistent link: https://www.econbiz.de/10014551950
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Modelling the term structure with trends in yields and cycles in excess returns
Favero, Carlo A.; Fernàndez-Fuertes, Rubén - 2023
Persistent link: https://www.econbiz.de/10014479331
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Discount models
Filipović, Damir - In: Finance and stochastics 27 (2023) 4, pp. 933-946
Persistent link: https://www.econbiz.de/10014426399
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A semi-static replication method for Bermudan swaptions under an affine multi-factor model
Hoencamp, Jori; Jain, Shashi; Kandhai, Drona - In: Risks : open access journal 11 (2023) 10, pp. 1-41
We present a semi-static replication algorithm for Bermudan swaptions under an affine, multi-factor term structure model. In contrast to dynamic replication, which needs to be continuously updated as the market moves, a semi-static replication needs to be rebalanced on just a finite number of...
Persistent link: https://www.econbiz.de/10014391534
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A robust model for the term structure of interest rates: some applications in Colombia
Cabrera, Wilmar; Rodríguez-Novoa, Daniela; … - 2023
Persistent link: https://www.econbiz.de/10014430380
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Price impact on term structure
Brigo, Damiano; Graceffa, Federico; Neuman, Eyal - In: Quantitative finance 22 (2022) 1, pp. 171-195
Persistent link: https://www.econbiz.de/10012872530
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Investing towards an exogenous reference level using a lower partial moments criterion
Kamma, Thijs; Pelsser, Antoon André Jean - 2022
Persistent link: https://www.econbiz.de/10013433526
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