Sökning: "Term structure of interest rates"

Visar resultat 1 - 5 av 18 avhandlingar innehållade orden Term structure of interest rates.

  1. 1. The Macroeconomics of the Term Structure of Interest Rates

    Detta är en avhandling från Stockholm : Department of Economics, Stockholm University

    Författare :Paolo Zagaglia; Stockholms universitet.; [2009]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; term structure of interest rates; monetary policy; money market; SOCIAL SCIENCES Business and economics Economics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi; nationalekonomi; Economics;

    Sammanfattning : This thesis consists of four papers, summarized as follows."The Term Structure of Interest Rates and the Monetary Transmission Mechanism"This paper provides empirical evidence that the term structure of interest rates is an integral part of the monetary transmission mechanism. LÄS MER

  2. 2. On the term structure of forwards, futures and interest rates

    Detta är en avhandling från Stockholm : KTH

    Författare :Camilla Landén; KTH.; [2001]
    Nyckelord :NATURVETENSKAP; NATURAL SCIENCES; Term structure; Markovian realizations; affine term structures.; MATHEMATICS Applied mathematics Optimization; systems theory; MATEMATIK Tillämpad matematik Optimeringslära; systemteori;

    Sammanfattning : .... LÄS MER

  3. 3. No Arbitrage Pricing and the Term Structure of Interest Rates

    Detta är en avhandling från Uppsala universitet

    Författare :Thomas Gustavsson; Uppsala universitet.; [1992]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Economics; Nationalekonomi;

    Sammanfattning : This dissertation provides an introduction to the concept of no arbitrage pricing and probability measures. In complete markets prices are arbitrage-free if and only if there exists an equivalent probability measure under which all asset prices are martingales. This is only a slight generalization of the classical fair game hypothesis. LÄS MER

  4. 4. Essays on the term structure of interest rates and monetary policy

    Detta är en avhandling från Stockholm : Institute for International Economic Studies, Stockholm University

    Författare :Magnus Dahlquist; Stockholms universitet.; [1995]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Penningpolitik; Ränta;

    Sammanfattning : This thesis consists of four empirical essays, summarized below.In “On Alternative Interest Rate Processes'' the interest rate dynamics for four European countries are studied. There seems to be a positive relation between the interest rate level and the volatility of interest rate changes. LÄS MER

  5. 5. Financial Volatility and Time-Varying Risk Premia

    Detta är en avhandling från Department of Economics, Lund Universtiy

    Författare :Peter Hördahl; Lund University.; Lunds universitet.; [1997]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Monte Carlo methods; Term structure of interest rates; Asymmetric variance; Time-varying risk premia; Volatility forecasting; CAPM; Conditional asset pricing models; Stochastic volatility; Volatility modeling; GARCH; Bond option pricing; Financial science; Finansiering;

    Sammanfattning : This thesis consists of four empirical essays, all dealing with return volatility of financial assets and/or time-varying risk premia. In the first essay, Changing Risk Premia: Evidence from a Small Open Economy, the relation between risk and return is investigated for Swedish stocks. LÄS MER