Analysis of the German term structure with robust cointegration methods:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | German |
| Veröffentlicht: |
Berlin
Pro Business
2001
|
| Ausgabe: | 1. Aufl. |
| Schriftenreihe: | Quantitative Wirtschaftsforschung
5 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | X, 151 S. 21 cm |
| ISBN: | 3934529658 |
Internformat
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| 245 | 1 | 0 | |a Analysis of the German term structure with robust cointegration methods |c Kai Carstensen |
| 250 | |a 1. Aufl. | ||
| 264 | 1 | |a Berlin |b Pro Business |c 2001 | |
| 300 | |a X, 151 S. |b 21 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
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Datensatz im Suchindex
| _version_ | 1816444341618475008 |
|---|---|
| adam_text |
CONTENTS
1
INTRODUCTION
1
1.1
PURPOSE
OF
THE
THESIS
.
2
1.2
ORGANIZATION
OF
THE
THESIS
.
3
2
THE
RATIONAL
EXPECTATION
HYPOTHESIS
OF
THE
TERM
STRUCTURE
5
2.1
INTRODUCTION
.
5
2.2
THEORETICAL
FOUNDATIONS
.
6
2.2.1
THEORIES
OF
THE
TERM
STRUCTURE
.
6
2.2.2
BONDS
WITH
COUPON
PAYMENTS
.
9
2.2.3
PURE
DISCOUNT
BONDS
.
11
2.3
PREVIOUS
EMPIRICAL
RESULTS
.
12
2.3.1
REGRESSION
TESTS
.
13
2.3.2
COINTEGRATION
TESTS
.
15
2.4
SUMMARY
AND
CONCLUSION
.
20
3
ROBUST
UNIT
ROOT
TESTS
23
3.1
INTRODUCTION
.
23
3.2
A
SHORT
REVIEW
OF
TWO
CLASSICAL
UNIT
ROOT
TESTS
.
24
3.2.1
DICKEY-FULLER
TEST
.
24
3.2.2
PHILLIPS-PERRON
TEST
.
26
3.2.3
THE
NEED
FOR
ROBUST
UNIT
ROOT
TESTS
.
28
3.3
ROBUST
UNIT
ROOT
TESTS
.
28
3.3.1
LOW
BREAKDOWN
POINT
M
ESTIMATORS
.
29
3.3.2
LAD
BASED
TESTS
.
33
3.3.3
HIGH
BREAKDOWN
POINT
M
ESTIMATORS
.
35
3.3.4
TESTS
BASED
ON
CAUCHY
ESTIMATOR
.
36
3.3.5
TEST
BASED
ON
QUASI-MAXIMUM
LIKELIHOOD
ESTIMATION
37
3.3.6
TESTS
BASED
ON
ADAPTIVE
MAXIMUM
LIKELIHOOD
ESTI
MATION
.
40
3.3.7
UNIT
ROOT
TEST
WITH
CONDITIONAL
HETEROSKEDASTICITY
.
.
42
3.3.8
FURTHER
ROBUST
UNIT
ROOT
TESTS
.
43
VI
CONTENTS
3.3.9
PREVIOUS
SIMULATION
EVIDENCE
.
44
3.4
A
MONTE-CARLO
STUDY
.
45
3.4.1
EMPIRICAL
PERCENTILES
.
46
3.4.2
EMPIRICAL
POWER
.
47
3.5
SUMMARY
AND
CONCLUSION
.
54
4
ROBUST
COINTEGRATION
ANALYSIS
55
4.1
INTRODUCTION
.
55
4.2
ROBUST
COINTEGRATING
REGRESSIONS
.
57
4.2.1
FULLY
MODIFIED
M
ESTIMATION
.
59
4.2.2
FULLY
MODIFIED
LAD
ESTIMATION
.
61
4.3
MULTIVARIATE
COINTEGRATION
ANALYSIS
.
61
4.3.1
COINTEGRATION
ANALYSIS
BASED
ON
NORMAL
LIKELIHOOD
.
.
62
4.3.2
COINTEGRATION
ANALYSIS
BASED
ON
PSEUDO
LIKELIHOOD
RATIO
TESTS
.
63
4.3.3
COINTEGRATION
ANALYSIS
BASED
ON
PSEUDO
LAGRANGE
MUL
TIPLIER
TESTS
.
65
4.3.4
SEMI-NONPARAMETRIC
COINTEGRATION
ANALYSIS
.
66
4.3.5
ADAPTIVE
COINTEGRATION
ANALYSIS
.
67
4.3.6
POWER
PROPERTIES
IN
FINITE
SAMPLES
.
69
4.4
COINTEGRATION
ANALYSIS
UNDER
CONDITIONALLY
HETEROSKEDASTIC
DISTURBANCES
.
70
4.4.1
FORMULATION
OF
THE
MODEL
.
71
4.4.2
ESTIMATION
.
72
4.4.3
MONTE-CARLO
EVIDENCE
.
76
4.5
SUMMARY
AND
CONCLUSION
.
83
5
EMPIRICAL
ANALYSIS
OF
THE
GERMAN
TERM
STRUCTURE
87
5.1
DESCRIPTION
OF
THE
DATA
.
87
5.2
TESTS
FOR
INTEGRATION
AND
COINTEGRATION
.
89
5.2.1
TESTS
FOR
UNIT
ROOTS
.
89
5.2.2
ANALYSIS
OF
THE
SPREADS
.
92
5.2.3
MULTIVARIATE
COINTEGRATION
ANALYSIS
.
99
5.3
NONSTATIONARY
TERM
PREMIA
AND
COINTEGRATION
.
101
5.3.1
A
MODEL
OF
NONSTATIONARY
TERM
PREMIA
.
101
5.3.2
IDENTIFICATION
IN
THE
CASE
OF
TWO
NONSTATIONARY
FACTORS
103
5.3.3
IDENTIFICATION
IN
THE
CASE
OF
THREE
NONSTATIONARY
FACTORSL04
5.3.4
ESTIMATION
IN
THE
CASE
OF
TWO
NONSTATIONARY
FACTORS
.
106
5.3.5
ESTIMATION
IN
THE
CASE
OF
THREE
NONSTATIONARY
FACTORS
109
5.3.6
A
COMMON
TRENDS
DECOMPOSITION
OF
THE
2-FACTOR
MODELLL3
5.3.7
A
COMMON
TRENDS
DECOMPOSITION
OF
THE
3
FACTOR
MODEL
119
CONTENTS
VII
5.3.8
FORECASTING
PERFORMANCE
.
124
6
SUMMARY
AND
CONCLUSION
127
A
THE
HESSIAN
MATRIX
OF
THE
NEWTON-RAPHSON
ALGORITHM
FOR
ESTIMATING
A
VECM
WITH
CONDITIONALLY
HETEROSKEDASTIC
DIS
TURBANCES
131
B
DERIVATION
OF
AN
ITERATIVELY
WEIGHTED
LEAST
SQUARES
ESTIMA
TOR
OF
A
VECM
WITH
/-DISTRIBUTED
DISTURBANCES
133
B.L
THE
ESTIMATION
PROBLEM
.
133
B.2
DERIVATION
OF
A
FAST
ITERATIVELY
WEIGHTED
LEAST
SQUARES
ESTI
MATOR
.
134 |
| any_adam_object | 1 |
| author | Carstensen, Kai |
| author_GND | (DE-588)133118053 |
| author_facet | Carstensen, Kai |
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| building | Verbundindex |
| bvnumber | BV013865827 |
| classification_rvk | QK 620 |
| ctrlnum | (OCoLC)49682715 (DE-599)BVBBV013865827 |
| discipline | Wirtschaftswissenschaften |
| edition | 1. Aufl. |
| format | Book |
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| genre_facet | Hochschulschrift |
| geographic | Deutschland (DE-588)4011882-4 gnd |
| geographic_facet | Deutschland |
| id | DE-604.BV013865827 |
| illustrated | Not Illustrated |
| indexdate | 2024-11-22T17:25:15Z |
| institution | BVB |
| isbn | 3934529658 |
| language | German |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009484531 |
| oclc_num | 49682715 |
| open_access_boolean | |
| owner | DE-739 DE-12 |
| owner_facet | DE-739 DE-12 |
| physical | X, 151 S. 21 cm |
| publishDate | 2001 |
| publishDateSearch | 2001 |
| publishDateSort | 2001 |
| publisher | Pro Business |
| record_format | marc |
| series | Quantitative Wirtschaftsforschung |
| series2 | Quantitative Wirtschaftsforschung |
| spelling | Carstensen, Kai Verfasser (DE-588)133118053 aut Analysis of the German term structure with robust cointegration methods Kai Carstensen 1. Aufl. Berlin Pro Business 2001 X, 151 S. 21 cm txt rdacontent n rdamedia nc rdacarrier Quantitative Wirtschaftsforschung 5 Robuste Statistik (DE-588)4451047-0 gnd rswk-swf Rentenmarkt (DE-588)4177794-3 gnd rswk-swf Kointegration (DE-588)4347470-6 gnd rswk-swf Zinsstrukturtheorie (DE-588)4117720-4 gnd rswk-swf Deutschland (DE-588)4011882-4 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Deutschland (DE-588)4011882-4 g Rentenmarkt (DE-588)4177794-3 s Zinsstrukturtheorie (DE-588)4117720-4 s Robuste Statistik (DE-588)4451047-0 s Kointegration (DE-588)4347470-6 s DE-604 Quantitative Wirtschaftsforschung 5 (DE-604)BV013164443 5 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009484531&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Carstensen, Kai Analysis of the German term structure with robust cointegration methods Quantitative Wirtschaftsforschung Robuste Statistik (DE-588)4451047-0 gnd Rentenmarkt (DE-588)4177794-3 gnd Kointegration (DE-588)4347470-6 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd |
| subject_GND | (DE-588)4451047-0 (DE-588)4177794-3 (DE-588)4347470-6 (DE-588)4117720-4 (DE-588)4011882-4 (DE-588)4113937-9 |
| title | Analysis of the German term structure with robust cointegration methods |
| title_auth | Analysis of the German term structure with robust cointegration methods |
| title_exact_search | Analysis of the German term structure with robust cointegration methods |
| title_full | Analysis of the German term structure with robust cointegration methods Kai Carstensen |
| title_fullStr | Analysis of the German term structure with robust cointegration methods Kai Carstensen |
| title_full_unstemmed | Analysis of the German term structure with robust cointegration methods Kai Carstensen |
| title_short | Analysis of the German term structure with robust cointegration methods |
| title_sort | analysis of the german term structure with robust cointegration methods |
| topic | Robuste Statistik (DE-588)4451047-0 gnd Rentenmarkt (DE-588)4177794-3 gnd Kointegration (DE-588)4347470-6 gnd Zinsstrukturtheorie (DE-588)4117720-4 gnd |
| topic_facet | Robuste Statistik Rentenmarkt Kointegration Zinsstrukturtheorie Deutschland Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009484531&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV013164443 |
| work_keys_str_mv | AT carstensenkai analysisofthegermantermstructurewithrobustcointegrationmethods |