A two-factor model of the German term structure of interest rates:
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main
Europ. Central Bank
2001
|
| Series: | Working paper series / European Central Bank
46 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Item Description: | Literaturverz. S. 40 - 44 |
| Physical Description: | 62 S. graph. Darst. |
Staff View
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV013704932 | ||
| 003 | DE-604 | ||
| 005 | 20020206 | ||
| 007 | t | ||
| 008 | 010424s2001 gw d||| |||| 00||| eng d | ||
| 016 | 7 | |a 961256184 |2 DE-101 | |
| 035 | |a (OCoLC)248227041 | ||
| 035 | |a (DE-599)BVBBV013704932 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a gw |c DE | ||
| 049 | |a DE-12 |a DE-473 | ||
| 084 | |a QC 210 |0 (DE-625)141260: |2 rvk | ||
| 100 | 1 | |a Cassola, Nuno |e Verfasser |4 aut | |
| 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 | |
| 650 | 0 | 7 | |a Zinsstruktur |0 (DE-588)4067855-6 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Volatilität |0 (DE-588)4268390-7 |2 gnd |9 rswk-swf |
| 651 | 7 | |a Deutschland |0 (DE-588)4011882-4 |2 gnd |9 rswk-swf | |
| 689 | 0 | 0 | |a Deutschland |0 (DE-588)4011882-4 |D g |
| 689 | 0 | 1 | |a Zinsstruktur |0 (DE-588)4067855-6 |D s |
| 689 | 0 | 2 | |a Volatilität |0 (DE-588)4268390-7 |D s |
| 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 | |
| 856 | 4 | 2 | |m DNB Datenaustausch |q application/pdf |u 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 |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-009366355 | |
Record in the Search Index
| _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 |
| author_facet | Cassola, Nuno Barros Luís, Jorge |
| author_role | aut aut |
| author_sort | Cassola, Nuno |
| author_variant | n c nc l j b lj ljb |
| building | Verbundindex |
| bvnumber | BV013704932 |
| classification_rvk | QC 210 |
| ctrlnum | (OCoLC)248227041 (DE-599)BVBBV013704932 |
| discipline | Wirtschaftswissenschaften |
| era | 1972-1998 Geschichte 1972-1998 gnd |
| era_facet | 1972-1998 Geschichte 1972-1998 |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>00000nam a2200000 cb4500</leader><controlfield tag="001">BV013704932</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20020206</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">010424s2001 gw d||| |||| 00||| eng d</controlfield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">961256184</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)248227041</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV013704932</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">gw</subfield><subfield code="c">DE</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-12</subfield><subfield code="a">DE-473</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QC 210</subfield><subfield code="0">(DE-625)141260:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Cassola, Nuno</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">A two-factor model of the German term structure of interest rates</subfield><subfield code="c">by Nuno Cassola and Jorge Barros Luís</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Frankfurt am Main</subfield><subfield code="b">Europ. Central Bank</subfield><subfield code="c">2001</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">62 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="1" ind2=" "><subfield code="a">Working paper series / European Central Bank</subfield><subfield code="v">46</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Literaturverz. S. 40 - 44</subfield></datafield><datafield tag="648" ind1=" " ind2="4"><subfield code="a">1972-1998</subfield></datafield><datafield tag="648" ind1=" " ind2="7"><subfield code="a">Geschichte 1972-1998</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Zinsstruktur / Volatilität / Inflationserwartung / Deutschland</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Zinsstruktur</subfield><subfield code="0">(DE-588)4067855-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Volatilität</subfield><subfield code="0">(DE-588)4268390-7</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="651" ind1=" " ind2="7"><subfield code="a">Deutschland</subfield><subfield code="0">(DE-588)4011882-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Deutschland</subfield><subfield code="0">(DE-588)4011882-4</subfield><subfield code="D">g</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Zinsstruktur</subfield><subfield code="0">(DE-588)4067855-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Volatilität</subfield><subfield code="0">(DE-588)4268390-7</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">Geschichte 1972-1998</subfield><subfield code="A">z</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Barros Luís, Jorge</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="810" ind1="2" ind2=" "><subfield code="a">European Central Bank</subfield><subfield code="t">Working paper series</subfield><subfield code="v">46</subfield><subfield code="w">(DE-604)BV012681744</subfield><subfield code="9">46</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">DNB Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">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</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="943" ind1="1" ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-009366355</subfield></datafield></record></collection> |
| 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 |
| oclc_num | 248227041 |
| open_access_boolean | |
| owner | DE-12 DE-473 DE-BY-UBG |
| owner_facet | DE-12 DE-473 DE-BY-UBG |
| 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 |