Empirical Analysis of the EU Term Structure of Interest Rates

Front Cover
Logos Verlag Berlin GmbH, Dec 23, 2014 - 205 pages

The information about the properties and dynamics of term structure and its modeling hold tremendous interest for financial practitioners and policymakers alike. Accurate forecasting of the term structure of interest rates also plays a very important role for many reasons, particularly for bond portfolio and risk management, hedging derivatives, monetary and debt policy. The present dissertation contains the empirical research for the EU term structure of interest rates. The data analyzed here cover a time series based on the Euro and currencies of other six EU countries. The goal is to examine empirical properties and analyze in-sample and out-of-sample results for corresponding spot rates using 15 competitor GARCH(1,1) models with different distributional assumptions. Alltogether, the work summarizes 1680 x GARCH(1,1) in-sample and over 60000 x GARCH(1,1) out-of-sample estimation results. Moreover, the dissertation consists of 48 figures and 98 tables.

 

What people are saying - Write a review

We haven't found any reviews in the usual places.

Contents

Calculation Methods and Descriptive Analysis
7
List of Tables
17
Estimation Models
35
Estimation Results
79
9
91
Summary and Conclusion
103
Skewness and Kurtosis of the Skewed GaussLaplace Sum distribution
114
2D
122
ADF Test Results
128
Results of Normality Tests Hungary Spot Rates in Levels
130
Eigenvectors
135
Eigenvectors of Czech R Covariance Matrix
136
Copyright

Common terms and phrases

Bibliographic information