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 |
Page generated in 0.0144 seconds