Sökning: "Term-structure"

Visar resultat 1 - 5 av 34 uppsatser innehållade ordet Term-structure.

  1. 1. Petroleum Inventory Level: A Leading Indicator of Crude Oil Prices

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Marcus Larsson; [2018-07-04]
    Nyckelord :Petroleum Inventory; Crude oil price; Term Structure; Backwardation;

    Sammanfattning : MSc in Finance.... LÄS MER

  2. 2. Term Structure Modeling near the Zero Lower Bound: Regime Switching & Monetary Policy

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Oliver Krek; [2018]
    Nyckelord :Affine Term Structure Model; Regime Switching; Monetary Policy; Zero Lower Bound;

    Sammanfattning : This thesis proposes a regime-switching extension to the well known autoregressive gamma and gamma-zero process nesting its linear counterpart. The affine term structure model based on the new process matches key stylized facts of interest rates during a zero lower bound period as well as in normal times. LÄS MER

  3. 3. Modeling the Term Structure of Interest Rates with Restricted Boltzmann Machines

    Master-uppsats, KTH/Matematisk statistik

    Författare :Markus Berg; [2018]
    Nyckelord :;

    Sammanfattning : This thesis investigates if Gaussian restricted Boltzmann machines can be used to model the Swedish term structure of interest rates. The models are evaluated based on the ability to make one-day-ahead forecasts and the ability to generate long term scenarios. The results are compared to simple benchmark models, such as assuming a random walk. LÄS MER

  4. 4. Classification of Monetary Policy Decisions through Text Mining Techniques

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Manuel von Krosigk; [2018]
    Nyckelord :Sentiment analysis; Text mining; Monetary policy; Term structure of interest rates;

    Sammanfattning : Ellingsen, Söderström and Masseng (2003) describe an empirical strategy to test their model about how central bank interventions affect asset prices. They manually analyse a Wall Street Journal column in order to determine whether bond traders interpreted a target rate change as reaction to new information about the economy or change of central bank preferences. LÄS MER

  5. 5. Decomposing the Term Structure of Housing Risk: Implications of Market Segmentation and Liquidity

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :August Hansson; Olov Ryding Hallin; [2018]
    Nyckelord :Housing risk; Real estate returns; Liquidity; House price index; Household finance;

    Sammanfattning : This paper studies the empirical properties of the term structure of total housing risk in Sweden using a particularly rich dataset of housing transactions. We contrast recent studies by showing that, even after ten years, 75% of the total variation in housing returns will be attributable to the idiosyncratic shock. LÄS MER


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