Towards a joint characterization of monetary policy and the dynamics of the term structure of interest rates / Ralf Fendel.
Tipo de material:
TextoSeries Discussion paper (Deutsche Bundesbank). Series 1: Studies of the Economic Research Centre ; no. 24/2004Detalles de publicación: Frankfurt am Main : Deutsche Bundesbank, 2004Descripción: 51 pISBN: - 3865580114
- 21 332.1120943
Contenidos:
1. Introduction -- 2. An arbitrage-free perspective of the term structure of interest rates -- 3. A general affine term structure model in discrete time -- 4. A Gaussian model for the german term structure od interest rates -- 5. The monetary policy view of the short rate dynamics -- 6. Estimation procedure and results -- 7. Conclusions -- References -- Appendix 1: recursive restrictions -- 2. derivation of the term premia -- 3. the Kalman filter.
| Tipo de ítem | Biblioteca actual | Signatura topográfica | Estado | Fecha de vencimiento | Código de barras | |
|---|---|---|---|---|---|---|
Libro
|
Biblioteca Manuel Belgrano | 332.1120943 F 48047 (Navegar estantería(Abre debajo)) | Disponible | 48047 |
Bibliografía: p. 36-38.
1. Introduction -- 2. An arbitrage-free perspective of the term structure of interest rates -- 3. A general affine term structure model in discrete time -- 4. A Gaussian model for the german term structure od interest rates -- 5. The monetary policy view of the short rate dynamics -- 6. Estimation procedure and results -- 7. Conclusions -- References -- Appendix 1: recursive restrictions -- 2. derivation of the term premia -- 3. the Kalman filter.
No hay comentarios en este titulo.
Ingresar a su cuenta para colocar un comentario.