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Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives
HEIDARI, MASSOUD; WU, LIUREN - 2002
Dynamic term structure models (DTSMs) price interest rate derivatives based on the modelimplied fair values of the yield curve, ignoring any pricing residuals on the yield curve that are either from model approximations or market imperfections. In contrast, option pricing in practice often takes...
Persistent link: https://www.econbiz.de/10009440749
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Fiscal Decentralization and Fiscal Policy: An Economic Analysis
Baskaran, Thushyanthan - 2009
Es ist noch immer nicht endgültig geklärt, wie fiskalische Dezentralisierung die Höhe und Struktur der öffentlichen Ausgaben beeinflusst. Diese Dissertation analysiert daher zwei zusammenhängende Fragen. Erstens werden die Auswirkungen der fiskalischen Dezentralisierung auf die...
Persistent link: https://www.econbiz.de/10009476259
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Essays in Financial Econometrics
Hua, Jian - 2010
microstructure literature such as Fleming and Remolona (1999a, 1999b), which finds that price discovery often happens first in bond … markets. Hence my results extend and unify both the corporate bond pricing and market microstructure literatures, deepening … our understanding of stock and bond market interaction and suggesting profitable trading strategies. In the second chapter …
Persistent link: https://www.econbiz.de/10009439200
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Securitization and the Term Structure of Interest Rates: The Long and Short of It
Gearhart, Jr. - 2010
data from 2001:1 to 2008:1, both the fixed-effects and Arellano-Bond techniques are used to estimate the effect of the term … type, as theory would imply. Given that large banks increased their aggregate securitization activity when the term …
Persistent link: https://www.econbiz.de/10009439439
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Interest Rate Volatility Prior to Monetary Union Under Alternative Pre-Switch Regimes
Wilfling, Bernd - 2001
wichtige Vorhersage für die Zinsstruktur. Diese Arbeit leitet die Zinsdifferentialstruktur in einer Situation her, in der zwei …
Persistent link: https://www.econbiz.de/10009442351
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The Convergence of International Interest Rates Prior to Monetary Union
Wilfling, Bernd - 2001
The process of international interest rate convergence for arbitrary terms (represented by the term structure of interest rate differentials) is derived in a model of a small open economy which faces a purely time-contingent exchange rate regime switch from flexible to fixed rates. Special...
Persistent link: https://www.econbiz.de/10009442390
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THE TERM STRUCTURE OF IMPLIED FORWARD VOLATILITY: RECOVERY AND INFORMATIONAL CONTENT IN THE CORN OPTIONS MARKET
Egelkraut, Thorsten M.; Garcia, Philip; Sherrick, Bruce J. - 2003
Options with different maturities can be used to generate volatility estimates for non-overlapping future time intervals. This paper develops the term structure of volatility implied by corn futures options, and evaluates the informational content of the implied forward volatility as a predictor...
Persistent link: https://www.econbiz.de/10009442986
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Term Structure Dynamics with Macroeconomic Factors
Kim, Hwagyun (contributor) - 2009
achieving these two goals under affine models. To this end, I incorporate a liquidity demand theory via a measure of the …
Persistent link: https://www.econbiz.de/10009464960
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Capital controls and external debt term structure
Auernheimer, Leonardo (contributor) - 2005
reserve requirements. In mysetup reserve requirements play the role of a tax and the role of providing liquidity foreach bond …
Persistent link: https://www.econbiz.de/10009465028
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A Wavelet-Based Analysis of Commodity Futures Markets
Power, Gabriel - 2007
The time horizon of decision-making is an essential dimension of economic problemsbut is difficult to explicitly define. In this thesis, we use time series analysisaugmented by wavelet transform methods to precisely identify distinct time horizonsin economic data and measure their explanatory...
Persistent link: https://www.econbiz.de/10009466260