Empirical analysis of european term structure dynamics:
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| Format: | Thesis Book |
| Language: | English |
| Published: |
Berlin
dissertation.de - Verl. im Internet
2008
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| Edition: | Als Ms. gedr. |
| Series: | Dissertation Premium
1489 |
| Subjects: | |
| Online Access: | Inhaltstext Ausführliche Beschreibung Inhaltsverzeichnis |
| Physical Description: | XVI, 154 S. 12 schw.-w. Ill., 15 schw.-w. Tab. 210 mm x 150 mm, 250 gr. |
| ISBN: | 9783866243897 |
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MARC
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Record in the Search Index
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TABLE OF CONTENTS 1.
INTRODUCTION.»».»»».»».».»»*.!
1.1 RELEVANCE AND MOTIVATION 1 1.2 OUTLINE 4 2. TERM STRUCTURE MODELLING
7 2.1 INTEREST RATE INSTRUMENTS 8 2.2 STOCHASTIC CALCULUS 11 2.2.1 BASIC
NOTATION 11 2.2.2 ABSENCE OF ARBITRAGE 13 2.2.3 EQUIVALENT MARTINGALE
MEASURE 16 2.2.4 CHANGE OF MEASURE 18 2.2.5 GIRSANOV'S THEOREM 19 2.2.6
ITOE'S LEMMA 21 2.3 AFFINE TERM STRUCTURE MODELS 22 2.3.1 JUMPS 23 2.3.2
ESTIMATION METHODS 25 3. THE EUROPEAN CENTRAL BANK 35 3.1 HISTORY 35 3.2
THE EUROPEAN SYSTEM OF CENTRAL BANKS AND THE EUROSYSTEM 36 3.3 TARGET
INTEREST RATE CHANGES 42 4. THE AFFINE JUMP DIFFUSION MODEL 45 4.1 THE
STATE VARIABLES 45 4.2 BOND PRICING FORMULA 50 4.3 SWAP YIELD FORMULA 56
4.4 THE DATASET 57 4.5 PARAMETER ESTIMATION 59 4.5.1 SIMULATED MAXIMUM
LIKELIHOOD 60 4.5.2 SIMULATION OF THE STATE VECTOR 64 4.5.3 ESTIMATION
OF TRANSITION DENSITIES 70 4.6 SUMMARY 74 4.6.1 SCHEMATIC OVERVIEW ON
THE OPTIMIZATION PROCESS 74 4.6.2 NUMERICAL EXAMPLE 77 BIBLIOGRAFISCHE
INFORMATIONEN HTTP://D-NB.INFO/992368863 DIGITALISIERT DURCH II TABLE OF
CONTENTS APPENDIX CHAPTER 4 * 90 A4.1 ITOE'S LEMMA FOR JUMP PROCESSES 90
A4.2PDIE-WITH ECB MEETINGS 91 A4.3PDIE-WITHOUT ECB MEETINGS 93 A4.4 ODES
- WITH ECB MEETINGS 94 A4.5ODES-WITHOUT ECB MEETINGS 95 A4.6
DISCRETIZATION 96 5. EMPIRICAL RESULTS . . . . . .*.
. .99 5.1 GENERAL ANALYSES 99 5.1.1 PARAMETER ESTIMATES 100
5.1.2 CORRELATION ANALYSIS 103 5.1.3 INTERPRETATION OF Z 104 5.1.4
CROSS-SECTIONAL PRICING PERFORMANCE 107 5.2 SENSITIVITY ANALYSES 110
5.2.1 STATE VARIABLES AND YIELDS 110 5.2.2 THE TERM STRUCTURE OF
VOLATILITY 113 5.3 TARGET RATE CHANGES AND INTEREST RATE RULES 118 5.3.1
MODEL IMPLIED TARGET RATE CHANGES 118 5.3.2 INTEREST RATE RULES 120 5.4
SUMMARY AND IMPLICATIONS 127 6. CONCLUSION 135 6.1 SUMMARY 135 6.2
FUTURE RESEARCH 136 REFERENCE LIST 139 |
| any_adam_object | 1 |
| author | Begtasevic, Miriam |
| author_facet | Begtasevic, Miriam |
| author_role | aut |
| author_sort | Begtasevic, Miriam |
| author_variant | m b mb |
| building | Verbundindex |
| bvnumber | BV035350343 |
| classification_rvk | QK 600 |
| ctrlnum | (OCoLC)429665004 (DE-599)DNB992368863 |
| dewey-full | 332.801519233 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.801519233 |
| dewey-search | 332.801519233 |
| dewey-sort | 3332.801519233 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| edition | Als Ms. gedr. |
| format | Thesis Book |
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| spelling | Begtasevic, Miriam Verfasser aut Empirical analysis of european term structure dynamics Miriam Begtasevic Als Ms. gedr. Berlin dissertation.de - Verl. im Internet 2008 XVI, 154 S. 12 schw.-w. Ill., 15 schw.-w. Tab. 210 mm x 150 mm, 250 gr. txt rdacontent n rdamedia nc rdacarrier Dissertation Premium 1489 Zugl.: Vallendar, WHU - Wiss. Hochschule für Unternehmensführung, Otto-Beisheim-School of Management, Diss., 2008 Europäische Zentralbank (DE-588)5287962-8 gnd rswk-swf EU-Staaten stw Schätzung stw Stochastischer Prozess stw Zinsstruktur stw Zinsstrukturtheorie stw jump diffusion stw Zins (DE-588)4067845-3 gnd rswk-swf Diffusionsprozess (DE-588)4274463-5 gnd rswk-swf Sprungprozess (DE-588)4427906-1 gnd rswk-swf Fristigkeit (DE-588)4274884-7 gnd rswk-swf Geldpolitik (DE-588)4019902-2 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Europäische Zentralbank (DE-588)5287962-8 b Geldpolitik (DE-588)4019902-2 s Zins (DE-588)4067845-3 s Fristigkeit (DE-588)4274884-7 s Sprungprozess (DE-588)4427906-1 s Diffusionsprozess (DE-588)4274463-5 s DE-604 Dissertation Premium 1489 (DE-604)BV021464926 1489 text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3235122&prov=M&dok_var=1&dok_ext=htm Inhaltstext text/html http://www.dissertation.de/buch.php3?buch=5773 Ausführliche Beschreibung DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017154497&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Begtasevic, Miriam Empirical analysis of european term structure dynamics Dissertation Premium Europäische Zentralbank (DE-588)5287962-8 gnd EU-Staaten stw Schätzung stw Stochastischer Prozess stw Zinsstruktur stw Zinsstrukturtheorie stw jump diffusion stw Zins (DE-588)4067845-3 gnd Diffusionsprozess (DE-588)4274463-5 gnd Sprungprozess (DE-588)4427906-1 gnd Fristigkeit (DE-588)4274884-7 gnd Geldpolitik (DE-588)4019902-2 gnd |
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| title | Empirical analysis of european term structure dynamics |
| title_auth | Empirical analysis of european term structure dynamics |
| title_exact_search | Empirical analysis of european term structure dynamics |
| title_full | Empirical analysis of european term structure dynamics Miriam Begtasevic |
| title_fullStr | Empirical analysis of european term structure dynamics Miriam Begtasevic |
| title_full_unstemmed | Empirical analysis of european term structure dynamics Miriam Begtasevic |
| title_short | Empirical analysis of european term structure dynamics |
| title_sort | empirical analysis of european term structure dynamics |
| topic | Europäische Zentralbank (DE-588)5287962-8 gnd EU-Staaten stw Schätzung stw Stochastischer Prozess stw Zinsstruktur stw Zinsstrukturtheorie stw jump diffusion stw Zins (DE-588)4067845-3 gnd Diffusionsprozess (DE-588)4274463-5 gnd Sprungprozess (DE-588)4427906-1 gnd Fristigkeit (DE-588)4274884-7 gnd Geldpolitik (DE-588)4019902-2 gnd |
| topic_facet | Europäische Zentralbank EU-Staaten Schätzung Stochastischer Prozess Zinsstruktur Zinsstrukturtheorie jump diffusion Zins Diffusionsprozess Sprungprozess Fristigkeit Geldpolitik Hochschulschrift |
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