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~isPartOf:"Bank of England Working Paper"
~subject:"Schätzung"
~subject:"Zinsstruktur"
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Estimating Probability Distributions of Future Asset Prices : Empirical Transformations from Option-Implied Risk-Neutral to Real-World Density Functions
de Vincent-Humphreys, Rupert
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2012
The prices of derivatives contracts can be used to estimate ‘risk-neutral' probability density functions that give an indication of the weight investors place on different future prices of their underlying assets, were they risk-neutral. In the likely case that investors are risk-averse, this...
Persistent link: https://www.econbiz.de/10013104539
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2
A Joint Affine Model of Commodity Futures and US Treasury Yields
Chin, Michael
-
2015
We derive a general joint affine term structure model of US government bond yields and the convenience yields on physical commodities. We apply this framework separately to oil and gold. Our results show clear links between bond and commodity markets, since bond factors play a significant role...
Persistent link: https://www.econbiz.de/10013026902
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3
Risk Premia and Seasonality in Commodity Futures
Hevia, Constantino
-
2016
We develop and estimate a multifactor affine model of commodity futures that allows for stochastic variations in seasonality. We show conditions under which the yield curve and the cost-of-carry curve adopt augmented Nelson and Siegel functional forms. This restricted version of the model is...
Persistent link: https://www.econbiz.de/10012992825
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Preferred - Habitat Investors and the US Term Structure of Real Rates
Kaminska, Iryna
-
2011
We estimate structurally a model of the term structure of interest rates that is consistent with no arbitrage but allows for demand pressures. The term structure in our model is determined through the interaction of risk-averse arbitrageurs and preferred-habitat investors with preferences for...
Persistent link: https://www.econbiz.de/10013122032
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5
Systematic Tail Risk
Harris, Richard D. F.
-
2016
other measures of downside risk, including downside beta, co-
skewness
and co-kurtosis. Using these measures, we examine the …
Persistent link: https://www.econbiz.de/10012977194
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6
Evaluating the Robustness of UK Term Structure Decompositions Using Linear Regression Methods
Malik, Sheheryar
-
2014
This paper evaluates the robustness of UK bond term premia from affine term structure models. We show that this approach is able to match standard specification tests. In addition, term premia display countercyclical behaviour and are positively related to uncertainty about future inflation,...
Persistent link: https://www.econbiz.de/10013043012
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Repo Market Functioning : The Role of Capital Regulation
Horen, Neeltje van
-
2018
This paper shows that the leverage ratio affects repo intermediation for banks and non-bank financial institutions. We exploit a novel regulatory change in the UK to identify an exogenous intensification of the leverage ratio and combine this with supervisory transaction-level data capturing the...
Persistent link: https://www.econbiz.de/10012913473
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