An Affine multifactor model with macro factors for the German term structure: changing results during the recent crises
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Frankfurt, M.
Dt. Bundesbank
2012
|
| Series: | Discussion paper / Deutsche Bundesbank
Eurosystem 2012,25 |
| Online Access: | Volltext Inhaltsverzeichnis |
| Item Description: | Zsfassung in dt. u. engl. Sprache. - Online-Ausg. im Internet |
| Physical Description: | 35 S. graph. Darst. |
| ISBN: | 9783865588500 9783865588494 |
Staff View
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Record in the Search Index
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| adam_text | IMAGE 1
C O N T E N T S
1 I N T R O D U C T I O N 1
2 M O D E L S P E C I F I C A T I O N 2
3 D A T A 5
3.1 YIELDS 5
3.2 MACRO VARIABLES 7
4 E M P I R I C A L R E S U L T S 8
4.1 INFLUENCE OF MACRO VARIABLES O N T H E T E R M STRUCTURE 8
4.2 RISK PREMIA DEVELOPMENTS DURING THE CRISIS 11
4.3 INCLUDING LIQUIDITY INTO T H E MODEL 13
5 R O B U S T N E S S C H E C K S 1 5
5.1 ESTIMATES WITH DIFFERENT SAMPLE SIZES 15
5.2 FORECAST EXPERIMENTS 16
6 C O N C L U S I O N 1 6
A A P P E N D I X 1 8
HTTP://D-NB.INFO/1027172032
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| id | DE-604.BV040545800 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-10T00:26:12Z |
| institution | BVB |
| isbn | 9783865588500 9783865588494 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-025391632 |
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| owner_facet | DE-355 DE-BY-UBR DE-12 DE-945 |
| physical | 35 S. graph. Darst. |
| psigel | ebook |
| publishDate | 2012 |
| publishDateSearch | 2012 |
| publishDateSort | 2012 |
| publisher | Dt. Bundesbank |
| record_format | marc |
| series2 | Discussion paper / Deutsche Bundesbank |
| spelling | Halberstadt, Arne Verfasser aut An Affine multifactor model with macro factors for the German term structure changing results during the recent crises Arne Halberstadt; Jelena Stapf Frankfurt, M. Dt. Bundesbank 2012 35 S. graph. Darst. txt rdacontent c rdamedia cr rdacarrier Discussion paper / Deutsche Bundesbank Eurosystem 2012,25 Zsfassung in dt. u. engl. Sprache. - Online-Ausg. im Internet Stapf, Jelena Verfasser aut Deutsche Bundesbank Discussion paper Eurosystem ; 2012,25 (DE-604)BV040156046 2012,25 http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_10_05_dkp_25.pdf?__blob=publicationFile Verlag kostenfrei Volltext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025391632&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Halberstadt, Arne Stapf, Jelena An Affine multifactor model with macro factors for the German term structure changing results during the recent crises |
| title | An Affine multifactor model with macro factors for the German term structure changing results during the recent crises |
| title_auth | An Affine multifactor model with macro factors for the German term structure changing results during the recent crises |
| title_exact_search | An Affine multifactor model with macro factors for the German term structure changing results during the recent crises |
| title_full | An Affine multifactor model with macro factors for the German term structure changing results during the recent crises Arne Halberstadt; Jelena Stapf |
| title_fullStr | An Affine multifactor model with macro factors for the German term structure changing results during the recent crises Arne Halberstadt; Jelena Stapf |
| title_full_unstemmed | An Affine multifactor model with macro factors for the German term structure changing results during the recent crises Arne Halberstadt; Jelena Stapf |
| title_short | An Affine multifactor model with macro factors for the German term structure |
| title_sort | an affine multifactor model with macro factors for the german term structure changing results during the recent crises |
| title_sub | changing results during the recent crises |
| url | http://www.bundesbank.de/Redaktion/EN/Downloads/Publications/Discussion_Paper_1/2012/2012_10_05_dkp_25.pdf?__blob=publicationFile http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025391632&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV040156046 |
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