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Adaptive Forecasting of the EURIBOR Swap Term Structure

Blaskowitz, Oliver; Herwartz, Helmut - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

employ autoregressive models (AR) to forecast principal components which, in turn, are used to forecast swap rates. Arguing …

Persistent link: https://www.econbiz.de/10005860579

Modeling the FIBOR/EURIBOR Swap Term Structure : An Empirical Approach

Blaskowitz, Oliver; Herwartz, Helmut; de Cadenas … - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

In this study we forecast the term structure of FIBOR/EURIBOR swap rates by means of recursive vector autoregressive … and curvature of the swap term structure, we rely on measures of both statistical and economic performance. Whereas the …

Persistent link: https://www.econbiz.de/10005862104

Yield Curve Factors, Term Structure Volatility, and Bond Risk Premia

Hautsch, Nikolaus; Ou, Yangguoyi - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008

We introduce a Nelson-Siegel type interest rate term structure model with the underlying yield factors following autoregressive processes revealing time-varying stochastic volatility. The factor volatilities capture risk inherent to the term structure and are associated with the time-varying...

Persistent link: https://www.econbiz.de/10005860483

Uncovered Interest Rate Parity and the Expectations Hypothesis of the Term Structure : Empirical Results for the U.S. and Europe

Brüggemann, Ralf; Lütkepohl, Helmut - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2005

A system of U.S. and euro area short- and long-term interest rates is analyzed. According to the expectations hypothesis of the term structure the interest rate spreads should be stationary and according to the uncovered interest rate parity the difference between the U.S. and euro area longterm...

Persistent link: https://www.econbiz.de/10005861983

Forecasting the Term Structure of Variance Swaps

Detlefsen, Kai; Härdle, Wolfgang - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

for options on realized variance. We consider the popular Heston model, reparametrize its variance swap price formula and … model the entire variance swap curves by two exponential factors whose loadings evolve dynamically on a weekly basis …

Persistent link: https://www.econbiz.de/10005854703

British Interest Rate Convergence between the US and Europe : A RecursiveCointegration Analysis

Weber, Enzo - Sonderforschungsbereich Ökonomisches Risiko <Berlin>

This paper addresses the question of the British state of convergence towards the Euro area, compared to the USA. Economically, the analysis is based on dependences in the money and capital markets, namely the uncovered interest parity (UIP) and the expectation hypothesis of the term structure...

Persistent link: https://www.econbiz.de/10005854717