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Long Run Risks in the Term Structure of Interest Rates
Language: en
Pages: 44
Authors: Taeyoung Doh
Categories:
Type: BOOK - Published: 2013 - Publisher:

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Using Bayesian methods, this paper estimates a model in which persistent fluctuations in expected consumption growth, expected inflation, and their timevarying
Term Structure of Interest Rates with Short-Run and Long-Run Risks
Language: en
Pages: 74
Authors: Olesya V. Grishchenko
Categories:
Type: BOOK - Published: 2017 - Publisher:

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Interest rate variance risk premium (IRVRP), the difference between implied and realized variances of interest rates, emerges as a strong predictor of Treasury
Essays on the Term Structure of Interest Rates and Long-run Risks
Language: en
Pages: 184
Authors: Henrik Hasseltoft
Categories:
Type: BOOK - Published: 2009 - Publisher:

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Long Run Risk in the Term Structure of Interest Rates
Language: en
Pages:
Authors:
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Type: BOOK - Published: 2008 - Publisher:

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Global Factors in the Term Structure of Interest Rates
Language: en
Pages: 41
Authors: Mirko Abbritti
Categories: Business & Economics
Type: BOOK - Published: 2013-11-05 - Publisher: International Monetary Fund

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This paper introduces global factors within a FAVAR framework in an empirical affine term structure model. We apply our method to a panel of international yield