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Macrofinance Modeling from Asset Allocation Perspective / Macrofinance Modeling from Asset Allocation Perspective

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.

Identiferoai:union.ndltd.org:nusl.cz/oai:invenio.nusl.cz:79535
Date January 2006
CreatorsKollár, Miroslav
ContributorsJílek, Josef, Holman, Robert, Komárek, Luboš
PublisherVysoká škola ekonomická v Praze
Source SetsCzech ETDs
LanguageEnglish
Detected LanguageEnglish
Typeinfo:eu-repo/semantics/doctoralThesis
Rightsinfo:eu-repo/semantics/restrictedAccess

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