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Modelling and forecasting stock return volatility and the term structure of interest rates
Language: en
Pages: 286
Authors: Michiel de Pooter
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Type: BOOK - Published: 2007 - Publisher: Rozenberg Publishers

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This dissertation consists of a collection of studies on two areas in quantitative finance: asset return volatility and the term structure of interest rates. Th
Stock Market Fluctuations and the Term Structure
Language: en
Pages:
Authors: Chunsheng Zhou
Categories:
Type: BOOK - Published: 1998 - Publisher:

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This paper uses the term structure of interest rates to explain the variations of stock prices and stock returns. It shows that interest rates have an important
The Term Structure of Interest Rates as Predictor of Stock Returns
Language: en
Pages: 29
Authors: Adrian Fernandez-Perez
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Type: BOOK - Published: 2013 - Publisher:

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We present a model to forecast the probability of bear markets in the Spanish IBEX 35 with a congruent and concise parameterization which selects the explanator
Stock Returns and the Term Structure
Language: en
Pages: 66
Authors: John Y. Campbell
Categories: Capital assets pricing model
Type: BOOK - Published: 1985 - Publisher:

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It is well known that in the postwar period stockreturns have tended to be low when the short term nominal interest rate is high. In this paper I show that more
Interest Rate, Term Structure, and Valuation Modeling
Language: en
Pages: 530
Authors: Frank J. Fabozzi
Categories: Business & Economics
Type: BOOK - Published: 2002-11-29 - Publisher: John Wiley & Sons

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This ultimate guide contains an excellent blend of theory and practice This comprehensive guide covers various aspects of model building for fixed income securi