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General equilibrium and reduced-form pricing, hedging and econometric analysis of fixed-income markets
Ulrich, Maxim - 2008
Persistent link: https://www.econbiz.de/10003751650
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Quarterly fiscal policy experiments with a multiplier-accelerator model
Kendrick, David A.; Shoukry, George - In: Computational economics 44 (2014) 3, pp. 269-293
Persistent link: https://www.econbiz.de/10010489081
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Optimal macroeconomic policy rules under uncertainty (Some applications of optimal stochastic control theory)
Los, Cornelis A. - 1981
Persistent link: https://www.econbiz.de/10002494637
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Alan Greenspan, the Quants and Stochastic Optimal Control
Stein, Jerome L. - 2011
Alan Greenspan's paper (March 2010) presents his retrospective view of the crisis. His theme has several parts. First, the housing price bubble, its subsequent collapse and the financial crisis were not predicted either by the market, the FED, the IMF or the regulators in the years leading to...
Persistent link: https://www.econbiz.de/10013132166
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On the existence and uniqueness of the optimal central bank intervention policy in a forex market with jumps
Perera, Sandun; Buckley, Winston - In: Journal of the Operational Research Society : OR 68 (2017) 8, pp. 877-885
Persistent link: https://www.econbiz.de/10011794501
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An approximation scheme for impulse control with random reaction periods
Perera, Sandun; Long, Hongwei - In: Operations research letters 45 (2017) 6, pp. 585-591
Persistent link: https://www.econbiz.de/10011782985
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Alan Greenspan, the Quants and Stochastic Optimal Control
Stein, Jerome L. - 2010
Alan Greenspan's paper (March 2010) presents his retrospective view of the crisis. His theme has several parts. First, the housing price bubble, its subsequent collapse and the financial crisis were not predicted either by the market, the FED, the IMF or the regulators in the years leading to...
Persistent link: https://www.econbiz.de/10013143201
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Monetary policy regimes : implications for the yield curve and bond pricing
Filipova, Kameliya; Audrino, Francesco; De Giorgi, Enrico - In: Journal of financial economics 113 (2014) 3, pp. 427-454
Persistent link: https://www.econbiz.de/10010495817
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Natural rate chimera and bond pricing reality
Brand, Claus; Goy, Gavin; Lemke, Wolfgang - 2021
We build a novel macro-finance model that combines a semi-structural macroeconomic module with arbitrage-free yield-curve dynamics. We estimate it for the United States and the euro area using a Bayesian approach and jointly infer the real equilibrium interest rate (r*), trend inflation (π*),...
Persistent link: https://www.econbiz.de/10012705391
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Expectation-driven term structure of equity and bond yields
Zeng, Ming; Zhao, Guihai - 2022 - Last updated: May 11, 2022
Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of … dynamics of equity and bond yields (and their yield spreads). The movements of equity and bond yields are driven mainly by … returns/yields and nominal bond returns/yields switched from positive to negative after the late 1990s, owing mainly to a …
Persistent link: https://www.econbiz.de/10013193433