A two-factor model of the German term structure of interest rates:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main
Europ. Central Bank
2001
|
| Schriftenreihe: | Working paper series / European Central Bank
46 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Literaturverz. S. 40 - 44 |
| Beschreibung: | 62 S. graph. Darst. |
Internformat
MARC
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| 245 | 1 | 0 | |a A two-factor model of the German term structure of interest rates |c by Nuno Cassola and Jorge Barros Luís |
| 264 | 1 | |a Frankfurt am Main |b Europ. Central Bank |c 2001 | |
| 300 | |a 62 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Working paper series / European Central Bank |v 46 | |
| 500 | |a Literaturverz. S. 40 - 44 | ||
| 648 | 4 | |a 1972-1998 | |
| 648 | 7 | |a Geschichte 1972-1998 |2 gnd |9 rswk-swf | |
| 650 | 4 | |a Zinsstruktur / Volatilität / Inflationserwartung / Deutschland | |
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| 689 | 0 | 3 | |a Geschichte 1972-1998 |A z |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Barros Luís, Jorge |e Verfasser |4 aut | |
| 810 | 2 | |a European Central Bank |t Working paper series |v 46 |w (DE-604)BV012681744 |9 46 | |
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Datensatz im Suchindex
| _version_ | 1807319769039241216 |
|---|---|
| adam_text |
CONTENTS
ABSTRACT
5
_
_
YY
_
_
I
INTRODUCTION
7
2
BACKGROUND
ISSUES
ON
ASSET
PRICING
1
0
3
DUFFIE-KAN
AFFINE
MODELS
OF
THE
TERM
STRUCTURE
1
2
4
GAUSSIAN
AFFINE
MODELS
1
7
5
A
FORWARD
RATE
TEST
OF
THE
EXPECTATIONS
THEORY
2
1
6
IDENTIFICATION
23
7
ECONOMETRIC
METHODOLOGY
26
8
DATA
AND
ESTIMATION
RESULTS
27
9
CONCLUSIONS
32
APPENDIX-THE
KALMAN
FILTER
33
REFERENCES
40
TABLES
45
FIGURES
48
EUROPEAN
CENTRAL
BANK
WORKING
PAPER
SERIES
60 |
| any_adam_object | 1 |
| author | Cassola, Nuno Barros Luís, Jorge |
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| discipline | Wirtschaftswissenschaften |
| era | 1972-1998 Geschichte 1972-1998 gnd |
| era_facet | 1972-1998 Geschichte 1972-1998 |
| format | Book |
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| geographic | Deutschland (DE-588)4011882-4 gnd |
| geographic_facet | Deutschland |
| id | DE-604.BV013704932 |
| illustrated | Illustrated |
| indexdate | 2024-08-14T00:14:04Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009366355 |
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| physical | 62 S. graph. Darst. |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Europ. Central Bank |
| record_format | marc |
| series2 | Working paper series / European Central Bank |
| spelling | Cassola, Nuno Verfasser aut A two-factor model of the German term structure of interest rates by Nuno Cassola and Jorge Barros Luís Frankfurt am Main Europ. Central Bank 2001 62 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Working paper series / European Central Bank 46 Literaturverz. S. 40 - 44 1972-1998 Geschichte 1972-1998 gnd rswk-swf Zinsstruktur / Volatilität / Inflationserwartung / Deutschland Zinsstruktur (DE-588)4067855-6 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Deutschland (DE-588)4011882-4 gnd rswk-swf Deutschland (DE-588)4011882-4 g Zinsstruktur (DE-588)4067855-6 s Volatilität (DE-588)4268390-7 s Geschichte 1972-1998 z DE-604 Barros Luís, Jorge Verfasser aut European Central Bank Working paper series 46 (DE-604)BV012681744 46 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009366355&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Cassola, Nuno Barros Luís, Jorge A two-factor model of the German term structure of interest rates Zinsstruktur / Volatilität / Inflationserwartung / Deutschland Zinsstruktur (DE-588)4067855-6 gnd Volatilität (DE-588)4268390-7 gnd |
| subject_GND | (DE-588)4067855-6 (DE-588)4268390-7 (DE-588)4011882-4 |
| title | A two-factor model of the German term structure of interest rates |
| title_auth | A two-factor model of the German term structure of interest rates |
| title_exact_search | A two-factor model of the German term structure of interest rates |
| title_full | A two-factor model of the German term structure of interest rates by Nuno Cassola and Jorge Barros Luís |
| title_fullStr | A two-factor model of the German term structure of interest rates by Nuno Cassola and Jorge Barros Luís |
| title_full_unstemmed | A two-factor model of the German term structure of interest rates by Nuno Cassola and Jorge Barros Luís |
| title_short | A two-factor model of the German term structure of interest rates |
| title_sort | a two factor model of the german term structure of interest rates |
| topic | Zinsstruktur / Volatilität / Inflationserwartung / Deutschland Zinsstruktur (DE-588)4067855-6 gnd Volatilität (DE-588)4268390-7 gnd |
| topic_facet | Zinsstruktur / Volatilität / Inflationserwartung / Deutschland Zinsstruktur Volatilität Deutschland |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009366355&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV012681744 |
| work_keys_str_mv | AT cassolanuno atwofactormodelofthegermantermstructureofinterestrates AT barrosluisjorge atwofactormodelofthegermantermstructureofinterestrates |