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Essays on exchange rates, prices and interest ratesAlexius, Annika January 1997 (has links)
<p>Diss. Stockholm : Handelshögsk.</p>
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Term structure modelling and the dynamics of Australian interest ratesO???Brien, Peter, Banking & Finance, Australian School of Business, UNSW January 2006 (has links)
This thesis consists of two related parts. In the first part we conduct an empirical examination of the dynamics of Australian interest rates of six different maturities, covering the whole yield curve. This direct study of the long rates is quite novel. We use maximum likelihood estimation on a variety of models and find some results that are in stark contrast to previous studies. We estimate Poisson-jump diffusion (PJD) models and find very strong evidence for the existence of jumps in all daily interest rate series. We find that the PJD model fits short-rate data significantly better than a Bernoulli-jump diffusion model. We also estimate the CKLS model for our data and find that the only model not rejected for all six maturities is the CEV model in stark contrast to previous findings. Also, we find that the elasticity of variance estimate in the CKLS model is much higher for the short-rates than for the longer rates where the estimate is only about 0.25, indicating that different dynamics seem to be at work for different maturities. We also found that adding jumps to the simple diffusion model gives a larger improvement than comes from going from the simple diffusion to the CKLS model. In the second part of the thesis we examine the Flesaker and Hughston (FH) term structure model. We derive the dynamics of the short rate under both the original measure and the risk-neutral measure, and show that some criticisms of the bounds for the short rate may not be significant in actual applications. We also derive the dynamics of bond prices in the FH model and compare them to the HJM model. We also extend the FH model by allowing the martingale to follow a jump-diffusion process, rather than just a diffusion process. We derive the unique change of measure that guarantees the family of bond prices is arbitrage-free. We derive prices for caps and swaptions, and extend the results to include Bermudan swaptions and show how to price options with the jump-diffusion version of the FH model.
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The term structure of interest rates and economic activity in South Africa /Shelile, Teboho. January 2006 (has links)
Thesis (M.Com. (Economic & Economic History)) - Rhodes University, 2007. / Thesis in partial fulfilment of the requirements for the degree Master of Commerce, Financial Markets in Department of Economics and Economic History.
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Essays on money, inflation and asset pricesJones, Timothy Gordon, January 1900 (has links)
Thesis (Ph. D.)--University of Texas at Austin, 2008. / Vita. Includes bibliographical references.
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Casual relations among stock returns, real activity, inflation, and money growth : a reconsideration of the evidence /Park, Kwangwoo J., January 1996 (has links)
Thesis (Ph. D.)--University of Missouri-Columbia, 1996. / Typescript. Vita. Includes bibliographical references (leaves 127-134). Also available on the Internet.
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The term structure of interest rates, cross-market integration, and pricing efficiency in the U.S. Treasury market /Kuipers, David R. January 1996 (has links)
Thesis (Ph. D.)--University of Missouri-Columbia, 1996. / Typescript. Vita. Includes bibliographical references (leaves [189]-195). Also available on the Internet.
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Casual relations among stock returns, real activity, inflation, and money growth a reconsideration of the evidence /Park, Kwangwoo J., January 1996 (has links)
Thesis (Ph. D.)--University of Missouri-Columbia, 1996. / Typescript. Vita. Includes bibliographical references (leaves 127-134). Also available on the Internet.
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The term structure of interest rates, cross-market integration, and pricing efficiency in the U.S. Treasury marketKuipers, David R. January 1996 (has links)
Thesis (Ph. D.)--University of Missouri-Columbia, 1996. / Typescript. Vita. Includes bibliographical references (leaves [189]-195). Also available on the Internet.
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Essays on panel and nonlinear time series analysis /Hyung, Namwon, January 1999 (has links)
Thesis (Ph. D.)--University of California, San Diego, 1999. / Vita. Includes bibliographical references.
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Essays on the term structure of interest rates, monetary policy, and business cycle /Kim, Dong Heon, January 2000 (has links)
Thesis (Ph. D.)--University of California, San Diego, 2000. / Vita. Includes bibliographical references (leaves 65-68).
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