Estimating risk premia in money market rates:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Frankfurt am Main
European Central Bank
2003
|
| Schriftenreihe: | Working paper series / European Central Bank
221 |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 64 S. |
Internformat
MARC
| LEADER | 00000nam a2200000 cb4500 | ||
|---|---|---|---|
| 001 | BV017127876 | ||
| 003 | DE-604 | ||
| 007 | t | ||
| 008 | 030509s2003 |||| 00||| eng d | ||
| 016 | 7 | |a 967460034 |2 DE-101 | |
| 035 | |a (OCoLC)237400000 | ||
| 035 | |a (DE-599)BVBBV017127876 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-12 | ||
| 100 | 1 | |a Durré, Alain |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Estimating risk premia in money market rates |c by Alain Durré, Snorre Evjen and Rasmus Pilegaaed |
| 264 | 1 | |a Frankfurt am Main |b European Central Bank |c 2003 | |
| 300 | |a 64 S. | ||
| 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 221 | |
| 810 | 2 | |a European Central Bank |t Working paper series |v 221 |w (DE-604)BV012681744 |9 221 | |
| 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=010325779&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-010325779 | |
Datensatz im Suchindex
| _version_ | 1807229083797422080 |
|---|---|
| adam_text |
CONTENTS
ABSTRACT
4
NON-TECHNICAL
SUMMARY
5
I
.
INTRODUCTION
7
2.
DATA
1
0
2.
1
DAILY
DATA
-
EONIA
SWAP
RATES
1
0
2.2
MONTHLY
DATA
-
GERMAN
LIBOR
AND
EURIBOR
1
2
3.
EMPIRICAL
EVIDENCE
FROM
OTHER
STUDIES
1
5
4.
RESULTS
FROM
ESTIMATING
RISK
PREMIA
IN
A
COINTEGRATING
VECTOR
AUTOREGRESSIVE
FRAMEWORK
1
9
4.
1
GERMAN
LIBOR
AND
EURIBOR
RATES
1
9
4.1.1
ESTIMATIONS
USING
THE
PHILLIPS-HANSEN
METHODOLOGY
20
4.
1
.2
THE
COINTEGRATING
VECTOR
AUTOREGRESSIVE
ESTIMATIONS
(CIVAR)
23
4.
1
.3
TESTING
A
LEVEL
SHIFT
IN
THE
COINTEGRATED
VECTOR
AUTOREGRESSIVE
MODEL
25
4.2
ESTIMATING
A
CIVAR
FOR
THE
EONIA
SWAP
MARKET
28
5.
CONCLUSIONS
32
REFERENCES
34
APPENDICES
39
EUROPEAN
CENTRAL
BANK
WORKING
PAPER
SERIES
58 |
| any_adam_object | 1 |
| author | Durré, Alain |
| author_facet | Durré, Alain |
| author_role | aut |
| author_sort | Durré, Alain |
| author_variant | a d ad |
| building | Verbundindex |
| bvnumber | BV017127876 |
| ctrlnum | (OCoLC)237400000 (DE-599)BVBBV017127876 |
| 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">BV017127876</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">030509s2003 |||| 00||| eng d</controlfield><datafield tag="016" ind1="7" ind2=" "><subfield code="a">967460034</subfield><subfield code="2">DE-101</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)237400000</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV017127876</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-12</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Durré, Alain</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Estimating risk premia in money market rates</subfield><subfield code="c">by Alain Durré, Snorre Evjen and Rasmus Pilegaaed</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Frankfurt am Main</subfield><subfield code="b">European Central Bank</subfield><subfield code="c">2003</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">64 S.</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">221</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">221</subfield><subfield code="w">(DE-604)BV012681744</subfield><subfield code="9">221</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=010325779&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:BVB01-010325779</subfield></datafield></record></collection> |
| id | DE-604.BV017127876 |
| illustrated | Not Illustrated |
| indexdate | 2024-08-13T00:12:39Z |
| institution | BVB |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010325779 |
| oclc_num | 237400000 |
| open_access_boolean | |
| owner | DE-12 |
| owner_facet | DE-12 |
| physical | 64 S. |
| publishDate | 2003 |
| publishDateSearch | 2003 |
| publishDateSort | 2003 |
| publisher | European Central Bank |
| record_format | marc |
| series2 | Working paper series / European Central Bank |
| spelling | Durré, Alain Verfasser aut Estimating risk premia in money market rates by Alain Durré, Snorre Evjen and Rasmus Pilegaaed Frankfurt am Main European Central Bank 2003 64 S. txt rdacontent n rdamedia nc rdacarrier Working paper series / European Central Bank 221 European Central Bank Working paper series 221 (DE-604)BV012681744 221 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010325779&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Durré, Alain Estimating risk premia in money market rates |
| title | Estimating risk premia in money market rates |
| title_auth | Estimating risk premia in money market rates |
| title_exact_search | Estimating risk premia in money market rates |
| title_full | Estimating risk premia in money market rates by Alain Durré, Snorre Evjen and Rasmus Pilegaaed |
| title_fullStr | Estimating risk premia in money market rates by Alain Durré, Snorre Evjen and Rasmus Pilegaaed |
| title_full_unstemmed | Estimating risk premia in money market rates by Alain Durré, Snorre Evjen and Rasmus Pilegaaed |
| title_short | Estimating risk premia in money market rates |
| title_sort | estimating risk premia in money market rates |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010325779&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV012681744 |
| work_keys_str_mv | AT durrealain estimatingriskpremiainmoneymarketrates |