Predictable Changes in Yields and Forward Rates PDF Download
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Author: David Backus
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 74
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Book Description
We consider patterns in the predictability of interest rates, characterized relative to the expectations hypothesis (EH), and attempt to account for them with affine models. We make the following points: (i) Discrepancies in the data from the EH take a particularly simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable estimates of one-factor Cox-Ingersoll-Ross models imply regressions on the opposite side of the EH than we see in the data: regression slopes are greater than one, not less than one. (iii) Multifactor affine models can nevertheless approximate both departures from the EH and other properties of interest rates
Author: David Backus
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 74
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Book Description
We consider patterns in the predictability of interest rates, characterized relative to the expectations hypothesis (EH), and attempt to account for them with affine models. We make the following points: (i) Discrepancies in the data from the EH take a particularly simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable estimates of one-factor Cox-Ingersoll-Ross models imply regressions on the opposite side of the EH than we see in the data: regression slopes are greater than one, not less than one. (iii) Multifactor affine models can nevertheless approximate both departures from the EH and other properties of interest rates
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: David K. Backus
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: David Backus
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: David Backus
Publisher:
ISBN:
Category :
Languages : en
Pages : 43
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Book Description
Author: David Meiselman
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 96
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Book Description
Author: Francis X. Diebold
Publisher: Princeton University Press
ISBN: 0691146802
Category : Business & Economics
Languages : en
Pages : 223
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Book Description
Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.
Author: Keith Cuthbertson
Publisher: John Wiley & Sons
ISBN: 047009172X
Category : Business & Economics
Languages : en
Pages : 736
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Book Description
This new edition of the hugely successful Quantitative Financial Economics has been revised and updated to reflect the most recent theoretical and econometric/empirical advances in the financial markets. It provides an introduction to models of economic behaviour in financial markets, focusing on discrete time series analysis. Emphasis is placed on theory, testing and explaining ‘real-world’ issues. The new edition will include: Updated charts and cases studies. New companion website allowing students to put theory into practice and to test their knowledge through questions and answers. Chapters on Monte Carlo simulation, bootstrapping and market microstructure.
Author: Hersh Shefrin
Publisher: Elsevier
ISBN: 0080482244
Category : Business & Economics
Languages : en
Pages : 636
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Book Description
Behavioral finance is the study of how psychology affects financial decision making and financial markets. It is increasingly becoming the common way of understanding investor behavior and stock market activity. Incorporating the latest research and theory, Shefrin offers both a strong theory and efficient empirical tools that address derivatives, fixed income securities, mean-variance efficient portfolios, and the market portfolio. The book provides a series of examples to illustrate the theory. The second edition continues the tradition of the first edition by being the one and only book to focus completely on how behavioral finance principles affect asset pricing, now with its theory deepened and enriched by a plethora of research since the first edition
Author: Reuben A. Kessel
Publisher:
ISBN:
Category : Business & Economics
Languages : en
Pages : 132
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Book Description
