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Term Structure Modelling by Using Nelson-Siegel Model
Nelson-Siegel model Nonlinear least squares Yield curve estimation
2016/1/27
Zero coupon rates are not observable in the market for a range of maturities. Therefore, an estimation methodology is required to derive the zero coupon yield curves from observable data. If we deal w...
The criterion of economic performance used in this study is magnitude
of fluctuations in inflation and output around longer term secular trends.
The secular trends themselves are not the immediate f...
Information contained in the term structure
for
business cycle measurement
spread between short & long Treasuries, corporate bond spreads.
A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables
erm structure dynamics macroeconomic
2015/7/23
We describe the joint dynamics of bond yields and macroeconomic variables in a Vector
Autoregression, where identifying restrictions are based on the absence of arbitrage. Using a
term structure mod...
TAKING RACE OUT OF THE EQUATION: SCHOOL REASSIGNMENT AND THE STRUCTURE OF PEER EFFECTS
Competition equation the school allocation peer effects structure
2015/7/20
TAKING RACE OUT OF THE EQUATION: SCHOOL REASSIGNMENT AND THE STRUCTURE OF PEER EFFECTS.
武汉理工大学货币银行学英文课件Chapter8 Financial Industry Structure
武汉理工大学 货币银行学 英文 课件 Chapter8 Financial Industry Structure
2015/6/4
武汉理工大学货币银行学英文课件Chapter8 Financial Industry Structure。
AUTOMATED 3D ARCHITECTURE RECONSTRUCTION FROM PHOTOGRAMETRIC STRUCTURE AND MOTION: A CASE STUDY OF THE “ONE PILLA” PAGODA, HANOI, VIETNAM
3D modelling SFM Culture Heritage
2015/5/7
Heritage system of Vietnam has decline because of poor-conventional condition. For sustainable development, it is required a firmly control, space planning organization, and reasonable investment. M...
Facts and Figuring:An Experimental Investigation of Network Structure and Performance in Information and Solution Spaces
Networks Organizational Structure Performance
2015/4/29
Using data from a novel laboratory experiment on complex problem solving in which we varied the network structure of 16-person organizations, we investigate how an organization's network structure sha...
Hidden Structure:Using Network Methods to Map System Architecture
Complexity Software Product Design
2015/4/28
In this paper, we describe an operational methodology for characterising the architecture of complex technical systems and demonstrate its application to a large sample of software releases. Our metho...
Do higher wages elicit reciprocity and lead to increased productivity? In a field experiment with 266 employees, we find that paying higher wages, per se, does not have a discernible effect on product...
Discretion Within the Constraints of Opportunity:Gender Homophily and Structure in a Formal Organization
Interactive Communication Data and Data Sets Organizational Structure Partners and Partnerships Behavior Online Technology Theory Information Technology Industry
2015/4/24
Homophily in social relations is widely documented. We know that homophily results from both individual preferences and uneven opportunities for interaction, but how these two mechanisms interact in f...
Retail Market Structure and Dynamics:A Three Country Comparison of Japan,the UK and the US
Industry Structures Market Entry and Exit Jobs and Positions Size Performance Productivity Japan United Kingdom United States
2015/4/21
This paper compares structure and dynamics of the Retail Trade Sectors in Japan, the U.K. and the U.S. This is done using confidential establishment and firm level data for each country. By using micr...
Measuring capital market efficiency: Global and local correlations structure
capital market eciency long-range dependence short-range dependence fractal dimension
2012/9/14
We introduce a new measure for the capital market eciency. The measure takes into considera-tion the correlation structure of the returns (long-term and short-term memory) and local herding behavior ...
Digital double barrier options: Several barrier periods and structure floors
Double barrier option tructure floor occupation time corridor option.
2012/9/14
We determine the price of digital double barrier options with an arbitrary number of barrier periods in the Black-Scholes model. This means that the barriers are active during some time intervals, but...
We attempt to unveil the fine structure of volatility feedback effects in the context of general quadratic autoregressive (QARCH) models, which assume that today’s volatility can be expressed as a gen...