term structure models
Markov switching quadratic term structure models
... the term structure of interest rates has long been an important topic in economics and ...rate term structure are relative to the family of the Affine Term Structure ...
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Term Structure Models of Commodity Prices: A Review
... The storage theory constitutes the main basis for the elaboration of term structure models of commodity prices. Indeed, it brings useful conclusions to construct such a model. First, the relationship ...
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The Kalman filter in finance: An application to term structure models of commodity prices and a comparison between the simple and the extended filters
... with term structure models of interest rates, term structure models of commodity prices, and with the market portfolio in the capital asset pricing ...famous term ...
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Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter
... a±ne term structure models can be estimated with the simultaneous use of many bond yield ...exponential{a±ne term structure ...a±ne term structure ...
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Nonlinear Kalman Filtering in Affine Term Structure Models
... affine term structure models (ATSMs) have become the standard in the literature on the valuation of fixed income securities, such as government bonds, corporate bonds, interest rate swaps, credit ...
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The term structure of crude oil futures prices : a principal component analysis
... These statements are important for several reasons. Firstly, such a study constitutes a useful prerequisite for the elaboration of term structure models of commodity prices, especially for the crude ...
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Risk Aversion, Intertemporal Substitution, and the Term Structure of Interest Rates
... to term structure ...factor term structure ...considered term structure models can generate the required risk premiums given the specific set of parameter values that ...
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Segmentation in the Crude Oil Futures Term Structure
... short term futures contracts to protect long-term positions on the physical market (in 1994, Metallgesellschaft tried to build such a strategy in order to exploit the higher liquidity of the nearest ...on ...
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Oil Price Forecasts for the Long-Term: Expert Outlooks, Models, or Both?
... our models is the extent to which, for a given forecast horizon, they can on average correctly predict the sign of forecast ...well models perform according to this dimension can add further useful in- ...
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Quasi steady-state models for long-term voltage and frequency dynamics simulation
... The dotted curve is the output of the QSS model including the correction (20). The two responses differ mainly by the times at which shunt reactors are tripped. This difference is due to short-term transients, ...
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Benchmarking coupled climate-carbon models against long-term atmospheric CO 2 measurements
... cycle models would be to use eddy covari- ance observations of flux‐climate relationships [Reichstein et ...cycle models against observations, using, for instance, ocean flux observations [Takahashi et ...
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Incomplete markets, liquidation risk and the term structure of interest rates
... market structure is that available assets play the role of buffer stocks, since they allow agents to partially offset the lack of full credit and insurance ...many models of this class imply a smooth ...
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On the Structure of Classical Realizability Models of ZF
... The models of ZF we obtain in this way, are called realizability models ; this technique is an extension of the method of forcing, in which the ordered sets (sets of conditions) are replaced with more ...
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Experimental validation of transient source term in porosity-based shallow water models
... water models for the simulation of urban floods incorporate additional energy dissipation terms compared to the usual two-dimensional shallow water ...drag models do not suffice to reproduce energy ...
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Incomplete markets, liquidation risk, and the term structure of interest rates
... the term structure of interest rates in a general equilibrium model with incom- plete markets, borrowing constraint, and positive net supply of government ...
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Information Flows across the Futures Term Structure: Evidence from Crude Oil Prices
... The models proposed in those papers, however, do not deal with the possibility that market frictions may prevent different parts of the price curve from moving in ...a term structure of prices and ...
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News Shocks and the Slope of the Term Structure of Interest Rates
... the term structure slope is motivated by the recent macro-finance literature that has taken the first step of linking simple atheoretical term structure factor models with macroeconomic ...
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Shocks propagation across the futures term structure : evidence from crude oil prices
... Futures Term Structure: Evidence from Crude Oil Prices Abstract To what extent are futures prices interconnected across the maturity curve? Where in the term structure do price shocks ...
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Mathematical analysis of electronic structure models for defected materials
... is no more binding of electrons. These minimizers share the same density thanks to the strict convexity of ρ ÞÑ Dpρ, ρq . The rHF model is a one-electron description of the quantum system (the ground state can be ...
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Maximum likelihood estimation of long-term HIV dynamic models and antiviral response
... dynamic models describe the viral load decrease and the CD4 cells increase under treatment by modeling the interaction between several types of CD4 cells and virions ( Perelson et ...effect models (NLMEMs) ...
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