Showing 1 - 10 of 19,337
the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox, Ingersoll and Ross family …
Persistent link: https://www.econbiz.de/10009369442
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with...
Persistent link: https://www.econbiz.de/10008727797
Persistent link: https://www.econbiz.de/10005776402
Persistent link: https://www.econbiz.de/10005073653
Persistent link: https://www.econbiz.de/10005102285
Persistent link: https://www.econbiz.de/10005549080
This paper studies the political influence of individual firms on Congressional decisions to suspend tariffs on U.S. imports of intermediate goods. We develop a model in which firms influence the government by transmitting information about the value of protection, via costless messages...
Persistent link: https://www.econbiz.de/10008671307
We apply a hidden Markov model of the term structure to modeling the Brazilian swap rate curve. We examine the model's characteristics and its performance in describing the cross-sectional and time-series dynamics of the term structure. Two regimes are identified, a high level and a high...
Persistent link: https://www.econbiz.de/10008839349
Persistent link: https://www.econbiz.de/10005625242
Persistent link: https://www.econbiz.de/10005626064