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Общие вопросы экономики Общие вопросы экономики
Экономическая теория Экономическая теория


Consistent Nelson and Siegel Yield Curve Models. Derivation and Applications

Автор:   Leo K.
мягкая обложка
168 страниц
2009 год
Издательство:   Книга по Требованию
2744 руб
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Описание:This thesis derives an intertemporally-consistent and arbitrage-free version of the NS model, and provides an explicit macroeconomic foundation for that augmented NS (ANS) model. To illustrate the general applicability of the ANS model, it is then applied to four distinct topics spanning finance and economics, each of which are active areas of research in their own right: i. e (1) forecasting the yield curve; (2) investigating relationships between the yield curve and the macroeconomy; (3) fixed interest portfolio management; and (4) investigating the uncovered interest parity hypothesis (UIPH). However, NS models are not theoretically consistent and they also lack an economic foundation, which limits their wider application in finance and economics. A popular class of yield curve models is based on the Nelson and Siegel (1987) (hereafter NS) approach of “fitting” yield curve data with simple functions of maturity.

Orthomol Immun Junior Сила иммунитета на страже Вашего ребенка Orthomol Immun Junior Сила иммунитета на страже Вашего ребенка

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Английский язык для медиков: конспект лекций

Mesenchy-mal cells differentiate into fibroblasts, chondroblasts, and osteoblasts, which produce connective tissue, cartilage, and bone tissue, respectively. Bone organs either develop directly in mesenchymal connective tissue (intramembranous ossification) or from preformed cartilage models (endochondral ossification). In general, the skeletal muscles differentiate from paraxial mesoderm. The splanch nic mesoderm gives rise to cardiac and smooth muscle. The integument consists of the epidermis and its derivatives (glands, hairs, nails), and the underlying dermis. The epider mis is derived from ectoderm, whereas the dermis is formed from mesenchyme. Melanocytes, which may occur in both layers, originate from neural crest. The skeletal system develops from paraxial mesoderm, which forms a column of tissue blocks, called the somites, on either side of the neural tube. Each somite becomes differentiated into a ventromedial part, the sclerotome, and a dorsolateral part, the dermomyotome. By the end of the fourth week, the sclerotome cells form embryonic connective tissue, known as mesenchyme ...»

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