Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective
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Cited by:
- David Bolder & Tiago Rubin, 2007.
"Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis,"
Staff Working Papers
07-13, Bank of Canada.
- David Bolder & Tiago Rubin, 2007. "Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis," Staff Working Papers 07-14, Bank of Canada.
- Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia 10502, Banco de la Republica.
- Daniel Vela, 2013. "Forecasting Latin-American yield curves: An artificial neural network approach," Borradores de Economia 761, Banco de la Republica de Colombia.
- Michele Manna & Emmanuela Bernardini & Mauro Bufano & Davide Dottori, 2013. "Modelling public debt strategies," Questioni di Economia e Finanza (Occasional Papers) 199, Bank of Italy, Economic Research and International Relations Area.
- Lapshin, Victor & Sohatskaya, Sofia, 2020.
"Choosing the weighting coefficients for estimating the term structure from sovereign bonds,"
International Review of Economics & Finance, Elsevier, vol. 70(C), pages 635-648.
- Victor Lapshin & Sofia Sokhatskaya, 2018. "Choosing The Weighting Coefficients For Estimating The Term Structure From Sovereign Bonds," HSE Working papers WP BRP 73/FE/2018, National Research University Higher School of Economics.
- Francisco Rivadeneyra & Oumar Dissou, 2011. "A Model of the EFA Liabilities," Discussion Papers 11-11, Bank of Canada.
- Felix Geiger, 2009. "International Interest-Rate Risk Premia in Affine Term Structure Models," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim 316/2009, Department of Economics, University of Hohenheim, Germany.
- David Jamieson Bolder & Yuliya Romanyuk, 2010.
"Combining Canadian Interest Rate Forecasts,"
Palgrave Macmillan Books, in: Arjan B. Berkelaar & Joachim Coche & Ken Nyholm (ed.), Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds, chapter 1, pages 3-30,
Palgrave Macmillan.
- David Bolder & Yuliya Romanyuk, 2008. "Combining Canadian Interest-Rate Forecasts," Staff Working Papers 08-34, Bank of Canada.
- Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
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More about this item
Keywords
Interest rates; Econometric and statistical methods; Financial markets;All these keywords.
JEL classification:
- C0 - Mathematical and Quantitative Methods - - General
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- G1 - Financial Economics - - General Financial Markets
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CFN-2007-01-02 (Corporate Finance)
- NEP-CSE-2007-01-02 (Economics of Strategic Management)
- NEP-ECM-2007-01-02 (Econometrics)
- NEP-FMK-2007-01-02 (Financial Markets)
- NEP-FOR-2007-01-02 (Forecasting)
- NEP-MAC-2007-01-02 (Macroeconomics)
- NEP-RMG-2007-01-02 (Risk Management)
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