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Advanced Search Results For "Finance"

1 - 10 of 44,672 results for
 "Finance"
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Subjective Bond Returns and Belief Aggregation.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. Aug2022, Vol. 35 Issue 8, p3710-3741. 32p.

Abstract:This paper proposes an aggregation scheme of subjective bond return expectations based on the historical accuracy of professional interest rate forecasters. We use disaggregated survey data on bond returns and document large disagreement in the cross-s...

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透過信用違約交換報價與公司債殖利率萃取流動性風險 因子之探討.

Publication Type:Academic Journal

Source(s):NTU Management Review. Apr2022, Vol. 32 Issue 1, p1-43. 43p.

Abstract:本研究選取兩種資料:單純的美國信用違約交換市場買賣報價資料;另外就是結合美 國信用違約交換買賣報價資料與相關公司債殖利率的資料。透過無損卡爾曼濾波估計 法,在平方根隨機過程的信用風險模型設定下,我們估計出兩種違約因子。之後,再 將信用違約交換資料進行主成分分析,然後用第一主成分與兩種違約因子進行迴歸, 而萃取出兩個新流動性風險因子。經過實證分析結果得知:這兩個新流動性風險因子 確實為可作為流動性風險代理變數,但是結合信用違約交換報價與債券殖利率所求算 出來的新流動性因子,其解釋能力比單純透過信用違約...

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On Hedge Parameters of currency Options.

Publication Type:Academic Journal

Source(s):International Journal of Business. 2022, Vol. 27 Issue 1, p1-18. 18p.

Abstract:Currency options differ from stock options because there are two (domestic and foreign) interest rates involved. In this paper, we explicitly derive the Black-Scholes option pricing formula for currency options. The partial derivatives of the option pr...

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الخمويل البىكي للمؤصضاث الصغيرة واملخوصطت خالت مشروعين ممولين مً كبل بىك البركت وبىك الفالخت والخىميت الريفيت.

Publication Type:Academic Journal

Source(s):Journal of Research in Finance & Accounting. 2021, Vol. 6 Issue 2, p458-474. 17p.

Abstract:جؿغح البىىن غضة ضُغ جمىٍلُت للماؾؿاث الطغيرة واإلاخىؾؿت ومً ؤهم هظه الطُغ اللغوع البىىُت باليؿبت للبىىن الخللُضًت واإلاشاعهت باليؿبت للبىىن ؤلاؾالمُت، خُث جغهؼ البىىن الخللُضًت بالضعحت ألاولى في خؿاب غىائضها مً الػملُت ؤلاكغاغُت غلى ؾػغ الفائضة ؤما الب...

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Oil price shocks and yield curve dynamics in emerging markets.

Publication Type:Academic Journal

Source(s):International Review of Economics & Finance. Jul2022, Vol. 80, p613-623. 11p.

Abstract:In a local projections framework, we study the impact of oil price shocks, based on a refined approach to disentangle oil price movements, on the dynamics of the entire yield curve in nineteen emerging economies with different positions on the oil mark...

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ÜLKE KREDİ NOTLARININ VE CDS PRİMLERİNİN TÜRKİYE'DEKİ FİNANSAL PİYASALAR ÜZERİNDEKİ UZUN VE KISA DÖNEM ETKİLERİ.

Publication Type:Academic Journal

Source(s):Sakarya Journal of Economics / Sakarya Iktisat Dergisi. Jun2022, Vol. 11 Issue 2, p231-253. 23p.

Abstract:Çalışmada ülke kredi notlarının ve CDS primlerinin finansal piyasalara uzun dönem ve kısa dönem etkileri araştırılmıştır. Araştırmada devlet tahvil faiz oranları, BİST100 endeksi ve döviz kuru sepeti Türkiye'nin 2010 Ocak-2021 Şubat aylık dönemleri örn...

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On the risk management of demand deposits: quadratic hedging of interest rate margins.

Publication Type:Academic Journal

Source(s):Annals of Operations Research. Jun2022, Vol. 313 Issue 2, p1319-1355. 37p.

Abstract:This paper examines the problem of hedging banks interest rate margins. We assume that the demand's deposits follow an exponential Lévy process with potential jumps. The forward market rates are assumed to follow the standard market model introduced by...

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General equilibrium with heterogeneous participants and continuous consumption with information costs and short selling constraints.

Publication Type:Academic Journal

Source(s):Annals of Operations Research. Jun2022, Vol. 313 Issue 2, p713-732. 20p.

Abstract:The paper studies the term structure of interest rates imposed by equilibrium in a production economy consisting of participants with heterogeneous preferences with information costs and short selling constraints. Our model accounts explicitly and simu...

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