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Algunas consideraciones sobre la estructura temporal de tasas de interés del gobierno en México
García-Verdú, Santiago - 2011
This paper, first, reviews briefly the literature on the term structure of interest rates, citing some of the most important studies done on the topic for the Mexican case in the last years. In addition, the development of the government debt market is described. Second, evidence against the...
Persistent link: https://www.econbiz.de/10009410460
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Algunas consideraciones sobre la estructura temporal de tasas de interés del gobierno en México
García-Verdú, Santiago - 2011
This paper, first, reviews briefly the literature on the term structure of interest rates, citing some of the most important studies done on the topic for the Mexican case in the last years. In addition, the development of the government debt market is described. Second, evidence against the...
Persistent link: https://www.econbiz.de/10010322548
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Pronósticos de la estructura temporal de las tasas de interés en México utilizando und modelo afín
Elizondo, Rocio - 2013
The purpose of this paper is to show that an affine model which incorporates the condition of no arbitrage enables improvements in forecasting the term structure of interest rates in Mexico. The three factors of the yield curve (level, slope and curvature) used in the model are estimated by the...
Persistent link: https://www.econbiz.de/10010322556
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Modelización de la volatilidad del tipo de interés a corto plazo
Benito, Francisca (contributor);  … - 2002 - [Elektronische Ressource], 1. ed
Persistent link: https://www.econbiz.de/10001713842
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Tasas de interés nominal de corto plazo en Chile : una comparación empírica de sus modelos
Parisi F., Franco - In: Cuadernos de economía 35 (1998) 105, pp. 161-182
Persistent link: https://www.econbiz.de/10001249629
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Tipos de interés a corto plazo en España
García Montalvo, José - In: Revista de economía aplicada : publicación cuatrimestral 6 (1998) invierno, pp. 5-26
Persistent link: https://www.econbiz.de/10001407672
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Comparación de pronósticos de la estructura temporal de tasas de interés de México para distintas especificaciones del modelo afín
Lelo-de-Larrea, Alejandra - 2020
Four specifications of an affine model with risk aversion and no arbitrage conditions are estimated for the Mexican …
Persistent link: https://www.econbiz.de/10012616394
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Simulación de la estructura temporal de tasas de interés: Una aplicación al cálculo de riesgo de tasas de interés
González, Mirta; Pérez, María Cecilia - 2015
estructura temporal de tasas de interés se realiza el cálculo del value at risk y del expected shortfall sobre los resultados de …In order to provide a tool for risk management improvement and appropriate regulation, a methodology for measuring … interest rate risk is applied in this paper. After estimating and simulating the interest rate term structure, the value at …
Persistent link: https://www.econbiz.de/10011716913
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Descomposición de la compensación por inflación y riesgo inflacionario en México
Aguilar-Argaez, Ana María; Elizondo, Rocio; … - 2016
inflationary risk premium, which are estimated by means of an affine term structure model of interest rates. The results show that … against future inflation, possibly, as a reflection of a lower risk perception associated to it. …
Persistent link: https://www.econbiz.de/10011788946
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Simulación de la estructura temporal de tasas de interés : una aplicación al cálculo de riesgo de tasas de interés
González, Mirta; Pérez, María Cecilia - 2015
In order to provide a tool for risk management improvement and appropriate regulation, a methodology for measuring … interest rate risk is applied in this paper. After estimating and simulating the interest rate term structure, the value at … risk and expected shortfall are calculated on a portfolio. An application of alpha-stable distributions has allowed …
Persistent link: https://www.econbiz.de/10011392440