Download or read book Simulations on the Treasury Model written by Colin Mowl and published by . This book was released on 1970 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Stochastic Simulations on the Treasury Model written by C.L. Melliss and published by . This book was released on 1987 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Money and Prices written by Pete Richardson and published by . This book was released on 1981 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Treasury Individual Income Tax Simulation Model written by James Cilke and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Treasury Personal Individual Income Tax Simulation Model written by Roy A. Wyscarver and published by . This book was released on 1985 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Impact of Demand in the Treasury Model written by Linda Hesselman and published by . This book was released on 1983 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: Describes simulations of the effect of alternative demand shocks on the Treasury model.
Download or read book Multifractal Models and Simulations of the U S Term Structure written by Sutthisit Jamdee and published by . This book was released on 2005 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset pricing modelers attempt to identify price diffusion processes from empirical financial market data. In particular, the Geometric Brownian Motion and the GARCH models are currently popular in these efforts. In contrast, for the first time this dissertation identifies Multifractal Models of Asset Return (MMARs) from the eight nodal term structure series of US Treasury rates as well as Fed Funds rate and, after proper synthesis, simulates those MMARs. The model performance results of these simulations are then compared with not only the original empirical time series, but also with the simulated results from the corresponding Brownian Motion and GARCH processes. The major findings are that the eight different maturity US Treasury and the Fed Funds rates are multifractal processes. The MMAR outperforms both the GBM and GARCH(1,1) in terms of scaling distribution preservation over time and investment horizons. In addition, this dissertation uses the noise-data ratio to improve the Holder-Hurst identification for the power spectrum method. Identified distributions of all simulated processes are compared with the empirical distributions in snapshot and over time-scale (frequency) analyses. The findings suggest that the simulated MMAR can replicate all attributes of the empirical distributions, while the simulated GBM and GARCH(1,1) processes cannot preserve the thick-tails, high peaks, and skewness. The wavelet scalograms, used to investigate the variance over time and scales, reveal the superiority of the MMAR for modeling the Treasury rates over the GBM and GARCH(1,1). When the MMAR is applied to the Fed Funds rate, the results are surprisingly different from those of the Treasury rates. The MMAR at this stage cannot produce a complete term structure model, because it cannot completely model the dynamic structure of the term structure.
Download or read book Parsimoneous Modeling of Yield Curves for U S Treasury Bills written by Andrew F. Siegel and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A new model is proposed for representinq the term to maturity structure of interest rates at a point in time.The model produces humped, monotonic and S-shaped yield curves using four parameters. Conditional on a time decay parameter, estimates of the other three are obtained by least squares. Yield curves for thirty-seven sets of U.S. Treasury bill yields with maturities up to one year are presented. The median standard deviation of fit is just over seven basis points and the corresponding median R-squared is .96. Study of residuals suggests the existence of specific maturity effects not previously identified. Using the models to predict the price of a long term bond provides a diagnostic check and suggests directions for further research
Download or read book Respecification and Comparative Model Simulations of the Price and Wage Section of the H M Treasury Macromodel written by David Richard Page and published by . This book was released on 1995 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Turkish Treasury Simulation Model for Debt Strategy Analysis written by Emre Balibek and published by . This book was released on 2017 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt: Governments raise funds to meet their financing needs using a range of fixed income securities and loans with different maturities, interest rates, and exchange rate structures. Public debt managers need to consider various policy objectives when deciding on the structure of the public liability portfolio. This paper describes a simulation model developed at the Turkish Treasury to assist the decision-making process in debt strategy formulation. The model is used to analyze the medium and long-term consequences of alternative debt management strategies in terms of cost and risk characteristics, and provides key inputs to decision making.
Download or read book Parsimoneous Modeling of Yield Curves for U S Treasury Bills written by Charles R. Nelson and published by . This book was released on 2005 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new model is proposed for representinq the term to maturity structure of interest rates at a point in time.The model produces humped, monotonic and S-shaped yield curves using four parameters. Conditional on a time decay parameter, estimates of the other three are obtained by least squares. Yield curves for thirty-seven sets of U.S. Treasury bill yields with maturities up to one year are presented. The median standard deviation of fit is just over seven basis points and the corresponding median R-squared is .96. Study of residuals suggests the existence of specific maturity effects not previously identified. Using the models to predict the price of a long term bond provides a diagnostic check and suggests directions for further research.
Download or read book A Disaggregated Structural Model of the Treasury Securities Corporate Bond and Equity Markets written by V. Vance Roley and published by . This book was released on 1980 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The estimation and simulation results of a disaggregated structural model of u\U.S. security markets are presented in this paper. The model consists of estimated demands for corporate bonds, equities, and four distinct maturity classes of Treasury securities by 11 categories of investors. The model is closed with the addition of six market-clearing identities equating market demands with exogenous supplies. The empirical results provide support to the model's specification and indicate that the "within-sample forecasts" of the six endogenous security yields closely track historical data.
Download or read book Turkish Treasury Simulation Model for Debt Strategy Analysis written by Emre Balibek and published by . This book was released on 2012 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Monte Carlo Simulation and Finance written by Don L. McLeish and published by John Wiley & Sons. This book was released on 2011-09-13 with total page 308 pages. Available in PDF, EPUB and Kindle. Book excerpt: Monte Carlo methods have been used for decades in physics, engineering, statistics, and other fields. Monte Carlo Simulation and Finance explains the nuts and bolts of this essential technique used to value derivatives and other securities. Author and educator Don McLeish examines this fundamental process, and discusses important issues, including specialized problems in finance that Monte Carlo and Quasi-Monte Carlo methods can help solve and the different ways Monte Carlo methods can be improved upon. This state-of-the-art book on Monte Carlo simulation methods is ideal for finance professionals and students. Order your copy today.
Download or read book Multifractal Modeling of the Us Treasury Term Structure and Fed Funds Rate written by Sutthisit Jamdee and published by . This book was released on 2005 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper identifies the Multifractal Models of Asset Return (MMARs) from the eight nodal term structure series of US Treasury rates as well as the Fed Funds rate and, after proper synthesis, simulates those MMARs. We show that there is an inverse persistence term structure in the sense that the short term interest rates show the highest persistence, while the long term rates are closer to the GBM's neutral persistence. The simulations of the identified MMAR are compared with the original empirical time series, but also with the simulated results from the corresponding Brownian Motion and GARCH processes. We find that the eight different maturity US Treasury and the Fed Funds rates are multifractal processes. Moreover, using wavelet scalograms, we demonstrate that the MMAR outperforms both the GBM and GARCH(1,1) in time-frequency comparisons, in particular in terms of scaling distribution preservation. Identified distributions of all simulated processes are compared with the empirical distributions in snapshot and over time-scale (frequency) analyses. The simulated MMAR can replicate all attributes of the empirical distributions, while the simulated GBM and GARCH(1,1) processes cannot preserve the thick-tails, high peaks and proper skewness. Nevertheless, the results are somewhat inconclusive when the MMAR is applied on the Fed Funds rate, which has globally a mildly anti-persistent and possibly chaotic diffusion process completely different from the other nodal term structure rates.
Download or read book Building and Using Dynamic Interest Rate Models written by Ken O. Kortanek and published by John Wiley & Sons. This book was released on 2001-11-28 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.
Download or read book Parsimonious Modeling of Yield Curves for U S Treasury Bills written by Charles R. Nelson and published by . This book was released on 1985 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
