Empirical Analysis of the EU Term Structure of Interest Rates.

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Kotchlamazashvili, Zurab
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin : Logos Verlag Berlin, 2014.
Temas:
Estimation theory.
Théorie de l'estimation.
Estimation theory
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Intro; 1. Introduction; 2. Calculation Methods and Descriptive Analysis; 2.1. Introductory Remarks; 2.2. Bootstrapping; 2.3. Nelson{Siegel Model and its Extensions; 2.3.1. Nelson-Siegel Model; 2.3.2. Extension: Svensson; 2.3.3. Extension: Diebold and Li; 2.4. Principal Component Analysis; 2.5. Data; 2.6. Dynamic of Spot Rates in Levels; 2.7. Stationarity; 2.8. Normality Tests; 2.9. Calculation of Principal Components; 2.10. Short Summary; 3. Estimation Models; 3.1. Introductory Remarks; 3.2. Basics about ARCH/GARCH Processes; 3.3. Mixture GARCH(1,1) Models; 3.3.1. General Remarks.
  • 3.3.2. Moments and Stationarity Conditions3.3.3. Normal Mixture GARCH(1,1); 3.3.4. t-Mixture GARCH(1,1); 3.3.5. Exponential Power Mixture GARCH(1,1); 3.4. Skewed Exponential Power GARCH(1,1); 3.5. Gauss{Laplace Sum GARCH(1,1); 3.6. Skewed Gauss{Laplace Sum GARCH(1,1); 3.7. Markov Switching GARCH(1,1); 3.7.1. Basic Principles; 3.7.2. Relation to GARCH(1,1); 3.7.3. Two Extensions; 3.8. Concluding Remarks; 4. Estimation Results; 4.1. Introductory Remarks; 4.2. Pre{Estimation Analysis; 4.2.1. Lagrange Multiplier Test of Engle; 4.2.2. Determining ARMA Structure; 4.3. In{Sample Performance.
  • 4.3.1. In{Sample Results4.3.2. Further Examination of Results; 4.3.3. In{Sample Performance Tests; 4.4. Out{of{Sample Performance; 4.4.1. Explanation of Procedures; 4.4.2. Out{of{Sample Results; 4.4.3. Out{of{Sample Performance Tests; 4.5. Short Summary; 5. Summary and Conclusion; A. Theoretical Basics and Derivations; A.1. Continuous Compounding; A.2. Eigenvalues and Eigenvectors; A.3. Derivation of Moments and Stationarity Conditions; A.3.1. Normal Mixture GARCH(1,1); A.3.2. t-Mixture GARCH(1,1); A.3.3. Exponential Power Mixture GARCH(1,1); A.3.4. Skewed Exponential Power GARCH(1,1).
  • A.3.5. Gauss{Laplace Sum GARCH(1,1)A.3.6. Skewed Gauss{Laplace Sum GARCH(1,1); A.3.7. Markov{Switching GARCH(1,1); A.4. Derivation of LM test; B. Figures and Tables for Descriptive Analysis; B.1. Term Structure of Interest Rates: 2D; B.2. Term Structure of Interest Rates: 3D; B.3. ADF Test Results; B.4. Normality Tests; B.4.1. Normality Tests in Levels; B.4.2. Normality Tests in log-Differences; B.5. Correlations; B.6. Eigenvectors; C. Tables for Estimation Results; C.1. Evaluation of Spot Rates in Log-Differences; C.2. Principal Components of Spot Rates in log-Differences; C.3. ARCH Test.
  • C.4. In { Sample ResultsC. 5. Tables for Further Examination of Results; C.6. Results of In-Sample Performance Tests; C.7. Forecasting Performance, h=4; C.8. Forecasting Performance, h=12; C.9. Results of Out-of-Sample Performance Tests; C.10. Value at Risk, h=4.

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