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On the estimation of the natural yield curve

On the estimation of the natural yield curve
Digital文書・図像類
NAKAJIMA, Jouchi, SUDO, Nao, HOGEN, Yoshihiko, TAKIZUKA, YasutakaInstitute of Economic Research, Hitotsubashi University2023-12
Available onlineOther Libraries in Japan
  • Subject HeadingNatural yield curve Natural rate of interest Term structure

A TERM STRUCTURE INTEREST RATE MODEL WITH THE BROWNIAN BRIDGE LOWER BOUND

A TERM STRUCTURE INTEREST RATE MODEL WITH THE BROWNIAN BRIDGE LOWER BOUND
Digital文書・図像類
Kikuchi, KentaroThe Institute for Economic and Business Research Faculty of Economics, Shiga University2023-04Discussion Paper, Series ENo. E-22p.1-21
Other Libraries in Japan
  • Subject Heading...ratic Gaussian term structure model Brownian bridge Negativ...

A Term Structure Model of Interest Rates with Quadratic Volatility

A Term Structure Model of Interest Rates with Quadratic Volatility
Digital文書・図像類
高見澤, 秀幸Hitotsubashi University Center for Financial Research2017-12-09
Available onlineOther Libraries in Japan
  • Summary, etc....a no-arbitrage term structure model that can......s the Gaussian term structure model, contributing also to a...
  • Subject HeadingTerm structure Interest rate Volatility Affi...

A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy

A Term Structure Interest Rate Model with the Exit Time from the Negative Interest Rate Policy
Digital文書・図像類
菊池, 健太郎Center for Risk Research (CRR), Shiga University2020-03CRR Discussion Paper, Series BNo. B-17p.1-15
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  • Subject Heading...ratic Gaussian term structure model」「Brownian bridge」「 Nega...
  • Note (General)...t rates into a term structure model makes it...... propose a new term structure model with a stochastic lower...
  • Alternative TitleA Term Structure Interest Rate Model with the ...

An Equilibrium Model of Term Structures of Bonds and Equities

An Equilibrium Model of Term Structures of Bonds and Equities
Digital文書・図像類
高見澤, 秀幸Hitotsubashi University Center for Financial Research2018-07-01
Available onlineOther Libraries in Japan
  • Summary, etc....brium model of term structures of bonds and ......an produce the term structure of real intere...... slope and the term structure of dividend risk premiums wit...
  • Subject HeadingTerm structure Interest rate Dividend strip ...

Impact of No-arbitrage on Interest Rate Dynamics

Impact of No-arbitrage on Interest Rate Dynamics
Digital文書・図像類
高見澤, 秀幸Hitotsubashi University Center for Financial Research2015-05-17
Available onlineOther Libraries in Japan
  • Subject HeadingTerm structure Interest rate Volatility Non-...

Heterogeneous Impatience of Individual Consumers and Decreasing Impatience of the Representative Consumer

Heterogeneous Impatience of Individual Consumers and Decreasing Impatience of the Representative Consumer
Digital文書・図像類
ハラ, チアキInstitute of Economic Research, Kyoto University2019-05-12KIER Discussion Paper1009p.1-48
Available onlineOther Libraries in Japan
  • Subject Heading...ating function term structure of interest rates short-rate ...

The First Arrow Hitting the Currency Target: A Long-run Risk Perspective

The First Arrow Hitting the Currency Target: A Long-run Risk Perspective
Digital文書・図像類
加納, 隆, 和田, 健司Hitotsubashi Institute for Advanced Study, Hitotsubashi University2015-11-09
Available onlineOther Libraries in Japan
  • Summary, etc.... The estimated term structure of the sensiti...... change in the term structure of the Fama regression coeffi...
  • Subject HeadingJapanese yen/U.S. dollar exchange rate Term structure Fama regression Long-run risk...

Estimating implied recovery rates from the term structure of CDS spreads

Estimating implied recovery rates from the term structure of CDS spreads
Digital文書・図像類
Jaskowski, Marcin, McAleer, MichaelInstitute of Economic Research, Kyoto University2012-12KIER Discussion Paper836
Available onlineOther Libraries in Japan
  • Summary, etc....ities from the term structure of CDS spreads. The parameter...
  • Subject HeadingConstant recovery stochastic recovery implied recovery rate term structure CDS spreads

Quadratic Gaussian Joint Pricing Model for Stocks and Bonds : Theory and Empirical Analysis

Quadratic Gaussian Joint Pricing Model for Stocks and Bonds : Theory and Empirical Analysis
Digital文書・図像類
Kikuchi, KentaroCenter for Risk Research (CRR), Shiga University2015-01CRR Discussion Paper, Series BNo. B-14p.1-22
Other Libraries in Japan
  • Subject Heading...ratic Gaussian term structure model unscented Kalman filter...
  • Note (General)...ratic Gaussian term structure model, in whichthe short rate...

Pricing of Discount Bonds with a Markov Switching Regime

Pricing of Discount Bonds with a Markov Switching Regime
Digital文書・図像類
Elliott, Robert J., Nishide, KatsumasaInstitute of Economic Research, Kyoto University2013-04KIER Discussion Paper859
Available onlineOther Libraries in Japan
  • Summary, etc.... price and the term structure.
  • Subject HeadingInvestment Bond pricing term structure Markov switching regime Vasic...

Heterogeneous impatience and dynamic inconsistency

Heterogeneous impatience and dynamic inconsistency
Digital文書・図像類
Hara, ChiakiInstitute of Economic Research, Hitotsubashi University2012-05
Available onlineOther Libraries in Japan
  • Summary, etc....cations to the term structure of interest rates are explore...
  • Subject Heading...ative consumer term structure of interest rates exponential...

Predicting Interest Rate Volatility: Using Information on the Yield Curve

Predicting Interest Rate Volatility: Using Information on the Yield Curve
Digital文書・図像類
髙見澤, 秀幸Hitotsubashi University Center for Financial Research2012-02
Available onlineOther Libraries in Japan
  • Subject HeadingDynamic Gaussian model Term structure Level-dependence Realized vol...

Modeling the Term Structure of Interest Rates with General Diffusion Processes: A Moment Approximation Approach

Modeling the Term Structure of Interest Rates with General Diffusion Processes: A Moment Approximation Approach
Digital文書・図像類
高見澤, 秀幸, 庄司, 功Graduate School of Economics, Hitotsubashi University2007-10
Available onlineOther Libraries in Japan
  • Subject HeadingShort-rate Term structure Approximation Conditional mom...

Is Nonlinear Drift Implied by the Short-End of the Term Structure?

Is Nonlinear Drift Implied by the Short-End of the Term Structure?
Digital文書・図像類
高見澤, 秀幸Graduate School of Economics, Hitotsubashi University2006-11
Available onlineOther Libraries in Japan
  • Subject HeadingShort-Rate Nonlinear Drift Term Structure Linear Approximation

Choice of Collateral Currency

Choice of Collateral Currency
Paper文書・図像類
Fujii, Masaaki, Takahashi, Akihiko日本経済国際共同センター2010-12Discussion paper series. CIRJE-FCIRJE-F-778
Other Libraries in Japan
  • Subject Heading...option CSA CVA term structure

Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA

Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA
Paper文書・図像類
Fujii, Masaaki, Takahashi, Akihiko日本経済国際共同センター2010-12Discussion paper series. CIRJE-FCIRJE-F-781
Other Libraries in Japan
  • Subject Heading...option CSA CVA term structure

Time Series Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates in the Presence of Multiple Structural Breaks

Time Series Analysis of the Expectations Hypothesis for the Japanese Term Structure of Interest Rates in the Presence of Multiple Structural Breaks
Digital文書・図像類
杉田, 勝弘Graduate School of Economics, Hitotsubashi University2006-11
Available onlineOther Libraries in Japan
  • Subject HeadingTerm structure Structural break Cointegratio...

How Does Yield Curve Predict GDP Growth ? A Macro-Finance Approach Revisited

How Does Yield Curve Predict GDP Growth ? A Macro-Finance Approach Revisited
Paper文書・図像類
Koeda, Junko日本経済国際共同センター2011-01Discussion paper series. CIRJE-FCIRJE-F-784
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  • Subject Heading... E43, E44, E27 Term structure of interest rates GDP growth ...

Collateral Posting and Choice of Collateral Currency : Implications for Derivative Pricing and Risk Management

Collateral Posting and Choice of Collateral Currency : Implications for Derivative Pricing and Risk Management
Paper文書・図像類
Fujii, Masaaki, Shimada, Yasufumi, Takahashi, Akihiko日本経済国際共同センター2010-05Discussion paper series. CIRJE-FCIRJE-F-743
Other Libraries in Japan
  • Subject Heading...option CSA CVA term structure
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