Can Affine Term Structure Models Help Us Predict Exchange Rates?

Can Affine Term Structure Models Help Us Predict Exchange Rates?
Author: Antonio Diez de los Rios
Publisher:
Total Pages: 43
Release: 2006
Genre: Foreign exchange rates
ISBN:


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Can Affine Term Structure Models Help Us Predict Exchange Rates?
Language: en
Pages: 43
Authors: Antonio Diez de los Rios
Categories: Foreign exchange rates
Type: BOOK - Published: 2006 - Publisher:

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Affine Models of the Joint Dynamics of Exchange Rates and Interest Rates
Language: en
Pages: 47
Authors: Bing Han
Categories:
Type: BOOK - Published: 2003 - Publisher:

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This paper addresses issues in extending the affine class of term structure models to describe the joint dynamics of exchange rates and interest rates. A standa
Can Term-structure Models Predict Currency Movements?
Language: en
Pages: 0
Authors: Grainne O'Sullivan
Categories:
Type: BOOK - Published: 2006 - Publisher:

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On the Estimation of Term Structure Models and An Application to the United States
Language: en
Pages: 64
Authors: International Monetary Fund
Categories: Business & Economics
Type: BOOK - Published: 2010-11-01 - Publisher: International Monetary Fund

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This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel
Testable Implications of Affine Term Structure Models
Language: en
Pages: 0
Authors: James D. Hamilton
Categories:
Type: BOOK - Published: 2013 - Publisher:

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Affine term structure models have been used to address a wide range of questions in macroeconomics and finance. This paper investigates a number of their testab