Narrow search
Showing 1 - 10 of 119
Cover Image
Default compensator, incomplete information, and the term structure of credit spreads
Giesecke, Kay - 2001
We provide a framework for the analysis of term structures of credit spreads on corporate bonds in the presence of informational asymmetries. While bond investors observe default incidents, we suppose that they have incomplete information on the firm's assets and/or the threshold asset level at...
Persistent link: https://www.econbiz.de/10009620780
Cover Image
The response of long-term interest rates to news about monetary policy actions : empirical evidence for the US and Germany
Nautz, Dieter; Wolters, Jürgen - 1998
tests of expectations theory this implication only requires rational expectations but not stationary risk premia. Therefore …
Persistent link: https://www.econbiz.de/10009578577
Cover Image
A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds
Riedel, Frank - 1997
The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage possibilities. Using the framework of Heath, Jarrow and Morton [4] we...
Persistent link: https://www.econbiz.de/10009632605
Cover Image
Tax clientele effects in the German bond market
Stehle, Richard; Jaschke, Stefan R.; Wernicke, S. - 1998
certain tax class, the estimation of tax-specific term structures, and the identification of representative investors … estimation of the term structure from coupon bond prices and the valuation of interest rate derivatives. -- linear programming …
Persistent link: https://www.econbiz.de/10009574878
Cover Image
On Markovian short rates in term structure models driven by jump-diffusion processes
Gapeev, P. V. (contributor); Küchler, U. (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001917033
Cover Image
Uncovered interest rate parity and analysis of monetary convergence of potential EMU accession countries
Holtemöller, Oliver (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001916957
Cover Image
Volatility estimates of the short term interest rate with an application to German data
Dankenbring, Henning - 1998
This paper proposes a procedure for testing alternative specifications of the short term interest rate's dynamics which takes into account that according to some restrictions the interest rate is nonstationary, i.e. the traditional test statistic has a non-standard distribution. Moreover, we do...
Persistent link: https://www.econbiz.de/10009578570
Cover Image
Testing for short and long-run causality : the case of the yield spread and economic growth
Breitung, Jörg; Candelon, Bertrand - 2001
To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...
Persistent link: https://www.econbiz.de/10009617950
Cover Image
Estimating yield curves by Kernel smoothing methods
Linton, Oliver; Mammen, Enno; Nielsen, Jens Perch; … - 1998
We introduce a new method for the estimation of discount functions, yield curves and forward curves from government … although we do show how to impose various restrictions in the estimation. Our method is based on Kernel smoothing and is … our estimation procedure is iterative, rather like the backfitting method of estimating non-parametric models. We …
Persistent link: https://www.econbiz.de/10009580489
Cover Image
Tax evasion and risky investments in an intertemporal context : an experimental study
Giese, Sebastian; Hoffmann, Antje - 2000
In this experimental study of tax evasion and its determinants participants earn their income in a complex stochastic intertemporal environment including the possibility to invest into a risky asset. The earned income has to be declared in four tax returns which are randomly verified. If tax...
Persistent link: https://www.econbiz.de/10009583891