The dissertation dealt with the interaction between the macro-economy and financial markets. In the first part of the dissertation I laid down a general case for macro-based active asset allocation. In the main part of my dissertation, after a theoretical introduction to term structure models and macrofinance models, I developed a VAR macrofinance model of the term structure of interest rates for the Czech economy based on the dynamic interpretation of the Nelson-Siegel model, and showed the use of such modeling framework in bond-yield prediction and asset allocation.
Identifer | oai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:79535 |
Date | January 2006 |
Creators | Kollár, Miroslav |
Contributors | Jílek, Josef, Holman, Robert, Komárek, Luboš |
Publisher | Vysoká škola ekonomická v Praze |
Source Sets | Czech ETDs |
Language | English |
Detected Language | English |
Type | info:eu-repo/semantics/doctoralThesis |
Rights | info:eu-repo/semantics/restrictedAccess |
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