本文に飛ぶ

年 〜
年

検索結果 26 件

On the estimation of the natural yield curve

On the estimation of the natural yield curve
デジタル文書・図像類
NAKAJIMA, Jouchi, SUDO, Nao, HOGEN, Yoshihiko, TAKIZUKA, YasutakaInstitute of Economic Research, Hitotsubashi University2023-12
インターネットで読める全国の図書館
  • 件名Natural 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
デジタル文書・図像類
Kikuchi, KentaroThe Institute for Economic and Business Research Faculty of Economics, Shiga University2023-04Discussion Paper, Series ENo. E-22p.1-21
全国の図書館
  • 件名...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
デジタル文書・図像類
高見澤, 秀幸Hitotsubashi University Center for Financial Research2017-12-09
インターネットで読める全国の図書館
  • 要約等...a no-arbitrage term structure model that can......s the Gaussian term structure model, contributing also to a...
  • 件名Term 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
デジタル文書・図像類
菊池, 健太郎Center for Risk Research (CRR), Shiga University2020-03CRR Discussion Paper, Series BNo. B-17p.1-15
全国の図書館
  • 件名...ratic Gaussian term structure model」「Brownian bridge」「 Nega...
  • 一般注記...t rates into a term structure model makes it...... propose a new term structure model with a stochastic lower...
  • 並列タイトル等（連結）A 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
デジタル文書・図像類
高見澤, 秀幸Hitotsubashi University Center for Financial Research2018-07-01
インターネットで読める全国の図書館
  • 要約等...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...
  • 件名Term structure Interest rate Dividend strip ...

Impact of No-arbitrage on Interest Rate Dynamics

Impact of No-arbitrage on Interest Rate Dynamics
デジタル文書・図像類
高見澤, 秀幸Hitotsubashi University Center for Financial Research2015-05-17
インターネットで読める全国の図書館
  • 件名Term 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
デジタル文書・図像類
ハラ, チアキInstitute of Economic Research, Kyoto University2019-05-12KIER Discussion Paper1009p.1-48
インターネットで読める全国の図書館
  • 件名...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
デジタル文書・図像類
加納, 隆, 和田, 健司Hitotsubashi Institute for Advanced Study, Hitotsubashi University2015-11-09
インターネットで読める全国の図書館
  • 要約等... The estimated term structure of the sensiti...... change in the term structure of the Fama regression coeffi...
  • 件名Japanese 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
デジタル文書・図像類
Jaskowski, Marcin, McAleer, MichaelInstitute of Economic Research, Kyoto University2012-12KIER Discussion Paper836
インターネットで読める全国の図書館
  • 要約等...ities from the term structure of CDS spreads. The parameter...
  • 件名Constant 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
デジタル文書・図像類
Kikuchi, KentaroCenter for Risk Research (CRR), Shiga University2015-01CRR Discussion Paper, Series BNo. B-14p.1-22
全国の図書館
  • 件名...ratic Gaussian term structure model unscented Kalman filter...
  • 一般注記...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
デジタル文書・図像類
Elliott, Robert J., Nishide, KatsumasaInstitute of Economic Research, Kyoto University2013-04KIER Discussion Paper859
インターネットで読める全国の図書館
  • 要約等... price and the term structure.
  • 件名Investment Bond pricing term structure Markov switching regime Vasic...

Heterogeneous impatience and dynamic inconsistency

Heterogeneous impatience and dynamic inconsistency
デジタル文書・図像類
Hara, ChiakiInstitute of Economic Research, Hitotsubashi University2012-05
インターネットで読める全国の図書館
  • 要約等...cations to the term structure of interest rates are explore...
  • 件名...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
デジタル文書・図像類
髙見澤, 秀幸Hitotsubashi University Center for Financial Research2012-02
インターネットで読める全国の図書館
  • 件名Dynamic 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
デジタル文書・図像類
高見澤, 秀幸, 庄司, 功Graduate School of Economics, Hitotsubashi University2007-10
インターネットで読める全国の図書館
  • 件名Short-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?
デジタル文書・図像類
高見澤, 秀幸Graduate School of Economics, Hitotsubashi University2006-11
インターネットで読める全国の図書館
  • 件名Short-Rate Nonlinear Drift Term Structure Linear Approximation

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
デジタル文書・図像類
杉田, 勝弘Graduate School of Economics, Hitotsubashi University2006-11
インターネットで読める全国の図書館
  • 件名Term structure Structural break Cointegratio...

Choice of Collateral Currency

Choice of Collateral Currency
紙文書・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
全国の図書館
  • 件名...option CSA CVA term structure

Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA

Asymmetric and Imperfect Collateralization, Derivative Pricing, and CVA
紙文書・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
全国の図書館
  • 件名...option CSA CVA term structure

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

How Does Yield Curve Predict GDP Growth ? A Macro-Finance Approach Revisited
紙文書・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
全国の図書館
  • 件名... 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
紙文書・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
全国の図書館
  • 件名...option CSA CVA term structure
RSS