Download or read book Regime Shifts Risk and the Term Structure written by Martin D.D. Evans and published by . This book was released on 2010 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops and estimates a general equilibrium model for the term structures of nominal and real interest rates that incorporates regime-switching into the dynamics of the state variables. The model generates time-varying risk premia via changes in the covariance structure of the state variables and Peso problems through regime-switching. When the model is estimated using real and nominal yields from the U.K., I find that Peso problems emanating from instability in inflation have a significant impact on the nominal term structure. Peso problems affect (i) the sample predictability of excess returns, (ii) nominal term premia, and (iii) the inflation risk premia linking real and nominal yields with expected inflation.
Download or read book Regime shifts Risk Premiums in the Term Structure and the Business Cycle written by Ravi Bansal and published by . This book was released on 2003 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Regime shifts Risk Premiums in the Term Structure and Business Cycle written by Ravi Bansal and published by . This book was released on 2003 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Regime Shifts Risk Premiums in the Term Structure and the Business Cycle written by Ravi Bansal and published by . This book was released on 2008 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine various dynamic term structure models for monthly US Treasury yields from 1964 to 2001. Of particular interest is the predictability of bond excess returns. Recent evidence indicates that using multiple forward rates can sharply predict future excess returns on bonds; the R2 of this predictability regression can be as high as 30%. In addition, the projection coefficients in these predictability regressions exhibit a tent shaped pattern that relates to the maturity of the forward rate. This dimension of the data in conjunction with the transition dynamics of bond yields (i.e., conditional volatility and cross-correlation of bond yields) poses an serious challenge to term structure models. In this paper we present and estimate a regime-shifts term structure model - our findings show that this model can account for all aspects of the predictability regression and the transition dynamics of yields. Alternative models, such as, affine factor models cannot account for these features of the data. We find that the regimes in the model are related to the NBER business cycle indicator.
Download or read book Term Structure of Interest Rates with Regime Shifts written by Ravi Bansal and published by . This book was released on 2001 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Regime Shifts in a Dynamic Term Structure Model of U S Treasury Bond Yields written by Qiang Dai and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article develops and empirically implements an arbitrage-free, dynamic term structure model with priced factor and regime-shift risks. The risk factors are assumed to follow a discrete-time Gaussian process, and regime shifts are governed by a discrete-time Markov process with state-dependent transition probabilities. This model gives closed-form solutions for zero-coupon bond prices, an analytic representation of the likelihood function for bond yields, and a natural decomposition of expected excess returns to components corresponding to regime-shift and factor risks. Using monthly data on U.S. Treasury zero-coupon bond yields, we show a critical role of priced, state-dependent regime-shift risks in capturing the time variations in expected excess returns, and document notable differences in the behaviors of the factor risk component of the expected returns across high and low volatility regimes. Additionally, the state dependence of the regime-switching probabilities is shown to capture an interesting asymmetry in the cyclical behavior of interest rates. The shapes of the term structure of volatility of bond yield changes are also very different across regimes, with the well-known hump being largely a low-volatility regime phenomenon.
Download or read book An Econometric Model of the Term Structure of Interest Rates Under Regime Switching Risk written by Shu Wu and published by . This book was released on 2008 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops and estimates a continuous-time model of the term structure of interests under regime shifts. The model features an analytically simple representation of Markov regime shifts that helps elucidate the effect of regime shifts on the yield curve and give a clear interpretation of regime-switching risk premiums. The model falls within the broad class of essentially affine models with a closed form solution of the yield curve, yet it is flexible enough to accommodate priced regime-switching risk, time-varying transition probabilities, regime-dependent mean reversion coefficients as well as stochastic volatilities within each regime. A two-factor version of the model is implemented using Efficient Method of Moments. Empirical results show that the model can account for many salient features of the yield curve in the U.S.
Download or read book Short and Long Horizon Term and Inflation Risk Premia in the US Term Structure written by Pietro Veronesi and published by . This book was released on 1999 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Mathematics of Finance written by George Yin and published by American Mathematical Soc.. This book was released on 2004 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains papers based on talks given at the first AMS-IMS-SIAM Joint Summer Research Conference on Mathematics of Finance held at Snowbird. This book includes such topics as modeling, estimation, optimization, control, and risk assessment and management. It is suitable for students interested in mathematical finance.
Download or read book Hidden Markov Models in Finance written by Rogemar S. Mamon and published by Springer. This book was released on 2014-05-14 with total page 280 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been one of the most important areas of application of operations research. The use of hidden Markov models (HMMs) has become one of the hottest areas of research for such applications to finance. This handbook offers systemic applications of different methodologies that have been used for decision making solutions to the financial problems of global markets. As the follow-up to the authors’ Hidden Markov Models in Finance (2007), this offers the latest research developments and applications of HMMs to finance and other related fields. Amongst the fields of quantitative finance and actuarial science that will be covered are: interest rate theory, fixed-income instruments, currency market, annuity and insurance policies with option-embedded features, investment strategies, commodity markets, energy, high-frequency trading, credit risk, numerical algorithms, financial econometrics and operational risk. Hidden Markov Models in Finance: Further Developments and Applications, Volume II presents recent applications and case studies in finance and showcases the formulation of emerging potential applications of new research over the book’s 11 chapters. This will benefit not only researchers in financial modeling, but also others in fields such as engineering, the physical sciences and social sciences. Ultimately the handbook should prove to be a valuable resource to dynamic researchers interested in taking full advantage of the power and versatility of HMMs in accurately and efficiently capturing many of the processes in the financial market.
Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.
Download or read book Exploration of the Brazilian Term Structure in a Hidden Markov Framework written by Mr.Richard Munclinger and published by International Monetary Fund. This book was released on 2011-01-01 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: We apply a hidden Markov model of the term structure to modeling the Brazilian swap rate curve. We examine the model's characteristics and its performance in describing the cross-sectional and time-series dynamics of the term structure. Two regimes are identified, a high level and a high volatility regime and a low level and low volatility regime. Both regimes are persistent and are explained by the level and the slope of the term structure. The model is estimated using a Bayesian MCM algorithm that produces consistent standard errors and a reliable method for testing the differences between the model parameters.
Download or read book Handbook of the Economics of Finance written by G. Constantinides and published by Elsevier. This book was released on 2003-11-04 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.
Download or read book Missing Data Methods written by David M. Drukker and published by Emerald Group Publishing. This book was released on 2011-11-30 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: Part of the "Advances in Econometrics" series, this title contains chapters covering topics such as: Missing-Data Imputation in Nonstationary Panel Data Models; Markov Switching Models in Empirical Finance; Bayesian Analysis of Multivariate Sample Selection Models Using Gaussian Copulas; and, Consistent Estimation and Orthogonality.
Download or read book YOUMARES 8 Oceans Across Boundaries Learning from each other written by Simon Jungblut and published by Springer. This book was released on 2018-08-29 with total page 259 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book presents the proceedings volume of the YOUMARES 8 conference, which took place in Kiel, Germany, in September 2017, supported by the German Association for Marine Sciences (DGM). The YOUMARES conference series is entirely bottom-up organized by and for YOUng MARine RESearchers. Qualified early career scientists moderated the scientific sessions during the conference and provided literature reviews on aspects of their research field. These reviews and the presenters’ conference abstracts are compiled here. Thus, this book discusses highly topical fields of marine research and aims to act as a source of knowledge and inspiration for further reading and research.
Download or read book Handbook of Research Methods and Applications in Empirical Finance written by Adrian R. Bell and published by Edward Elgar Publishing. This book was released on 2013-01-01 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This impressive Handbook presents the quantitative techniques that are commonly employed in empirical finance research together with real-world, state-of-the-art research examples. Written by international experts in their field, the unique approach describes a question or issue in finance and then demonstrates the methodologies that may be used to solve it. All of the techniques described are used to address real problems rather than being presented for their own sake, and the areas of application have been carefully selected so that a broad range of methodological approaches can be covered. The Handbook is aimed primarily at doctoral researchers and academics who are engaged in conducting original empirical research in finance. In addition, the book will be useful to researchers in the financial markets and also advanced Masters-level students who are writing dissertations.
Download or read book The Yen Risk Premium written by Sungjun Cho and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We document a new risk premium in the Japanese yen that compensates for the policy uncertainty in Japan. The yen risk premium is implied from bond markets under the assumption of no-arbitrage. We estimate a regime switching term structure model and find that in Japan, the conventional monetary policy and the zero interest rate policy are characterized by a high volatility and a low volatility regime, respectively. Uncertainty arises during the transition between regimes in the late 1990s. The associated risk premium explains the yen excess return in this period, which is not captured by affine term structure models.
