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Interest Rate Manipulation Detection using Time Series Clustering Approach
Interest Rate Manipulation Detection Series Clustering Approach
2012/9/14
The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, t...
Interest Rate Risk of Bond Prices on Macedonian Stock Exchange - Empirical Test of the Duration, Modified Duration and Convexity and Bonds Valuation
Treasury Bonds risk-free valuation intrinsic value duration, convexity
2012/9/14
This article presents valuation of Treasury Bonds (T-Bonds) on Macedonian Stock Exchange (MSE) and empirical test of duration, modified duration and convexity of the T-bonds at MSE in order to determi...
General Balance Functions in the Theory of Interest
balance function investment project internal rate of return
2012/9/14
We develop an axiomatic theory of balance functions (future value functions) in the theory of interest that is derived from financial considerations and which applies to general regulated payment stre...
Equivalence of interest rate models and lattice gases
Equivalence of interest rate models lattice gases Computational Finance
2012/4/28
We consider the class of short rate interest rate models for which the short rate is proportional to the exponential of a Gaussian Markov process x(t) in the terminal measure r(t) = a(t) exp(x(t)). Th...
Calibration of Chaotic Models for Interest Rates
Positive interest rate models Wiener chaos model calibration
2011/7/4
In this paper we calibrate chaotic models for interest rates to market data using a
polynomial{exponential parametrization for the chaos coecients. We identify a subclass of one{
variable models th...
Market, Interest Rate and Exchange Rate Risk Effects on Financial Stock Returns: A GARCH-M Approach
Exchange rate interest rate multivariate GARCH volatility
2010/9/7
In this paper we examine the sensitivity of financial sector stock returns to market, interest rate, and exchange rate risk in three financial sectors (Banking, Financial Services and Insurance) in 16...
Persistence in US Interest Rates: Is it Stable Over Time?
Fractional integration interest rates persistence
2010/9/7
This paper analyses persistence in US interest rates. It focuses on the Federal Funds effective rate, whose degree of persistence is modelled using fractional integration, monthly from July 1954 throu...
Discrete-Time Interest Rate Modelling
Interest rates models pricing kernels financial time series Flesaker-Hughston models transversality condition
2010/11/2
This paper presents an axiomatic scheme for interest rate models in discrete time.
We take a pricing kernel approach, which builds in the arbitrage-free property and pro-
vides a link to equilibrium...
Abstract. Bernstein processes are Brownian diffusions that appear in Euclidean Quantum Mechanics. The consideration of the symmetries of the associated Hamilton-Jacobi-Bellman equation allows one to o...
On the Persistence of Real Interest Rates: New Evidence from Long-Horizon Data
Real interest rate CCAPM local-to-unity half-life
2010/9/7
Since the paper of Rose (1988), a large literature has emerged on testing the stationarity of real interest rates using a variety of econometric procedures. In this study, we emphasize that the low po...
Money Demand in General Equilibrium Endogenous Growth: Estimating the Role of a Variable Interest Elasticity
Money demand interest elasticity exchange credit cash-in-advance
2010/9/7
The paper presents and tests a theory of the demand for money that is derived from a general equilibrium,endogenous growth economy, which in effect combines a special case of the shopping time exchang...