Narrow search
Showing 1 - 10 of 3,855
Cover Image
Linear-rational term structure models
Filipović, Damir; Larsson, Martin; Trolle, Anders B. - 2014
We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: i) ensures nonnegative interest rates, ii) easily...
Persistent link: https://www.econbiz.de/10010338764
Cover Image
Equity Term Structures without Dividend Strips Data
Giglio, Stefano; Kelly, Bryan T.; Kozak, Serhiy - National Bureau of Economic Research - 2023
We use a large cross-section of equity returns to estimate a rich affine model of equity prices, dividends, returns and their dynamics. Using the model, we price dividend strips of the aggregate market index, as well as any other well-diversified equity portfolio. We do not use any dividend...
Persistent link: https://www.econbiz.de/10014250137
Cover Image
Re-evaluating Swedish membership in EMU : evidence from an estimated model
Söderström, Ulf - 2008
Persistent link: https://www.econbiz.de/10003793648
Cover Image
Spekulation, Preisbildung und Volatilität auf Finanz- und Devisenmärkten
Alexander, Volbert; Kugler, Peter; Streissler, Erich; … - Verein für Socialpolitik / Ausschuss für Geldtheorie … - 1998
von J. Wolters analysiert die Renditestruktur am deutschen Kapitalmarkt. Gemäß der Erwartungshypothese der Zinsstruktur … Spreads festgestellt werden. Dies bedeutet, daß die Zinsstruktur nicht nur von einem, sondern von zwei gemeinsamen Faktoren … Zinsparität sowie der Erwartungshypothese der Zinsstruktur und der Notenbankpolitik. In einem Modell mit rationalen Erwartungen …
Persistent link: https://www.econbiz.de/10011401983
Cover Image
Endogenous dividend dynamics and the term structure of dividend strips
Belo, Frederico; Collin-Dufresne, Pierre; Goldstein, … - 2012
Persistent link: https://www.econbiz.de/10009666681
Cover Image
No arbitrage priors, drifting volatilites, and the term structure of interest rates
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2014
Persistent link: https://www.econbiz.de/10010363319
Cover Image
Asset pricing with regime-dependent preferences and learning
Berrada, Tony; Detemple, Jérôme B.; Rindisbacher, Marcel - 2013
This paper studies equilibrium in a pure exchange economy with unobservable Markov switching consumption growth regimes and regime-dependent preferences. Variations in risk attitudes have fundamental effects on the structure of equilibrium. Explicit solutions are provided for the market price of...
Persistent link: https://www.econbiz.de/10010256362
Cover Image
Volatility dynamics in the term structure of Latin American sovereign international bonds
Thuraisamy, Kannan Sivananthan - In: Emerging markets finance & trade : a journal of the … 51 (2015) 5, pp. 859-866
Persistent link: https://www.econbiz.de/10011561103
Cover Image
Interest rate uncertainty and economic fluctuations
Creal, Drew; Wu, Jing Cynthia - 2014
Persistent link: https://www.econbiz.de/10010431316
Cover Image
Regime-switching univariate diffusion models of the short-term interest rate
Choi, Seungmoon - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 13 (2009) 1, pp. 1-39
Persistent link: https://www.econbiz.de/10009513595