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Calibration of Chaotic Models for Interest Rates
Positive interest rate models Wiener chaos model calibration
2011/7/4
In this paper we calibrate chaotic models for interest rates to market data using a
polynomial{exponential parametrization for the chaos coecients. We identify a subclass of one{
variable models th...
Persistence in US Interest Rates: Is it Stable Over Time?
Fractional integration interest rates persistence
2010/9/7
This paper analyses persistence in US interest rates. It focuses on the Federal Funds effective rate, whose degree of persistence is modelled using fractional integration, monthly from July 1954 throu...
On the Persistence of Real Interest Rates: New Evidence from Long-Horizon Data
Real interest rate CCAPM local-to-unity half-life
2010/9/7
Since the paper of Rose (1988), a large literature has emerged on testing the stationarity of real interest rates using a variety of econometric procedures. In this study, we emphasize that the low po...