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Estimation of the Nelson‐Siegel parsimonious modeling of yield curves using an exponential GARCH process

Christofi, Andreas C. - In: Managerial Finance 24 (1998) 9/10, pp. 1-19

Refers to previous research on the yields of default‐free securities and uses the Nelson‐Siegel model for estimating yield curve as a basis for developing a model which decomposes the risk premium into long‐term risk, two factors influencing the rate of decay (curvature) and a feed back...

Persistent link: https://www.econbiz.de/10014940361

A global perspective on the use of derivatives for corporate risk management decisions

Jalilvand, Abolhassan; Switzer, Jeannette; Tang, Caroline - In: Managerial Finance 26 (2000) 3, pp. 29-38

strategic plans. Finds that Canada uses derivatives more than Europe or the USA; that most Canadian and European treasuries …

Persistent link: https://www.econbiz.de/10014939493

A re‐examination of reconciling items between Canadian and United States GAAP

Bandyopadhyay, S.P.; Hilton, A.S.; Richardson, G.D. - In: Managerial Finance 28 (2002) 3, pp. 37-56

Explains that Canada is currently deciding whether to harmonize with US or international accounting standards and …

Persistent link: https://www.econbiz.de/10014939609

Harmonization of international taxation: the case of interlisted stocks

Graham, Steven; Pirie, Wendy L. - In: Managerial Finance 29 (2003) 1, pp. 33-54

The fact that stocks going ex‐dividend decline in price by less than the dividend amount is theoretically attributed to … jurisdiction of the marginal investor. The stock price changes relative to the dividends are consistent with a tax clientele effect …. Further, the stock price changes are plausible given the tax rates. Ex‐dividend day behavior is different for non …

Persistent link: https://www.econbiz.de/10014939660

Monetary conditions and metal prices

Baffes, John; Savescu, Cristina - In: Applied economics letters 21 (2014) 7/9, pp. 447-452

Persistent link: https://www.econbiz.de/10010414368

Fixed income investing : a classic in a time of increased uncertainty

Poufinas, Thomas - 2022

Fixed income investments have been a topic of broad interest, in particular for institutional investors such as insurance companies and pensions schemes. They were considered safe heavens in turbulent times by almost all other institutional and individual investors and are used for strategies...

Persistent link: https://www.econbiz.de/10012659711

Fixed Income Investing : A Classic in a Time of Increased Uncertainty

Poufinas, Thomas - 2022

1. Introduction -- 2. Bonds -- 3. Term Structure -- 4. Fixed Income Portfolio Management -- 5. Interest Rate Derivatives -- 6. Credit Derivatives -- 7. Bond Markets -- 8. Bond Funds -- 9. Risks and Risk Management -- 10. Bonds and Crises -- 11. Bonds and Debt -- 12. Bonds vs. Stocks -- 13....

Persistent link: https://www.econbiz.de/10013170811

The shape of the treasury yield curve and commodity prices

Bayaa, Yasmeen; Qadan, Mahmoud - In: International review of financial analysis 94 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10014543998

Pricing-to-market and optimal interest rate policy

Cooke, Dudley - Federal Reserve Bank of Dallas - 2014

search frictions, firms price-to-market, with implications for the design of monetary policy. Country-specific shocks … generate deviations from the law of one price for traded goods which monetary policy acts to stabilize by influencing firm … markups. However, stabilizing law of one price deviations results in greater fluctuations in output. …

Persistent link: https://www.econbiz.de/10011084958

Forecasting inflation and the inflation risk premiums using nominal yields

Feunou, Bruno; Fontaine, Jean-Sébastien - 2012

We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavailable or unreliable due to their relative illiquidity. We combine nominal yields with surveys of inflation forecasts within a...

Persistent link: https://www.econbiz.de/10009668398