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Viac informácií o knihe Consistent Nelson and Siegel Yield Curve Models

• Parametre knihy
• Anotácia kniha
• Obľúbené z iného súdka

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Anotácia knihy

A popular class of yield curve models is based on §the Nelson and Siegel (1987) (hereafter§NS) approach of fitting yield curve data with §simple functions of maturity. However, NS models are §not theoretically consistent and they also lack an §economic foundation, which limits their wider §application in finance and economics.§This thesis derives an intertemporally-consistent §and arbitrage-free version of the NS model, and §provides an explicit macroeconomic foundation for §that augmented NS (ANS) model. To illustrate the §general applicability of the ANS model, it is then §applied to four distinct topics spanning finance and §economics, each of which are active areas of§research in their own right: i.e (1) forecasting the §yield curve; (2) investigating relationships§between the yield curve and the macroeconomy; (3) §fixed interest portfolio§management; and (4) investigating the uncovered §interest parity hypothesis (UIPH).

Parametre knihy

• Celý názov: Consistent Nelson and Siegel Yield Curve Models
• Podnázov: Derivation and Applications
• Autor: Leo Krippner
• Jazyk: Angličtina
• Väzba: Brožovaná
• Počet strán: 168
• EAN: 9783639155440
• ID: 06824040
• Nakladateľ: VDM Verlag Dr. Müller
• Hmotnosť: 240 g
• Rozmery: 220 × 150 × 9 mm
• Rok vydania: 2009

Obľúbené z iného súdka

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