Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 19 of 19 for “"Yield curves"”.
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Empirical analysis and forecasting of yield curves
… thesis focuses on modeling and forecasting the yield curves. We used the Principal Component Analysis(PCA) , Nelson Siegel(NS) model, and Gaussian Regression Process(GPR) in order to fit and forecast the European yield curve with different maturities. The second part of this thesis focuses on …
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Yield Curves and Macro Variables Interactions and Predictions
This research is based on the yield curves and five macro variables, namely equity indices, FX rates, central banks’ policy rates, inflation rates and the GDP growth rates, for nine different markets, from different geographical regions. Our aim was to identify common trends in yield curves and …
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Bayesian smoothing spline models and their application in estimating yield curves
… structure of interest rates, also called the yield curve, is the series of interest rates ordered by term to maturity at a given time. The smoothing spline as a nonparametric regression method has been used widely for fitting a smooth curve due to its flexibility and smoothing properties. In …
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Modelling Term and Inflation Risk Premia in the South African Bond Market
… been used to estimate the term premium of bond yields. Early attempts include linear regression models, such as those of Fama and Bliss (1987) and Cochrane and Piazzesi (2005), but these have been shown to be inconsistent and lacking in robustness (Kim and Orphanides (2007)). Affine term …
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Expectations, risk aversion, and the term structure of interest rates in Australia : an analysis of the effect of alternative methods of constructing yield curves on the results of the error learning model, and of the extent of central bank control over the yield curve
xii, 235 leaves : ill. ; 27 cm.
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Forecasting the Yield Curve of Government Bonds: A Comparative Study
… its impressive performance in in-sample fitting yield curves, little research has focused on the out-of-sample forecast of yield curves using the Kalman filter. The goal of this thesis is to develop a unified dynamic model based on Diebold and Li (2006) and Nelson and Siegel’s (1987) three-factor …
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Study of Low Energy Electron-Impact Induced Ionization and Fragmentation of Uracil
… as a function of electron impact energy. Ion yield curves for positive fragments are obtained from the mass spectra. Ion yield curves and appearance energies have been obtained from our data set and are in good agreement with results from previous research and other research groups. Partial …
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Estimating yield curve noise
… I explore methods for estimating noise in the yield curve. I evaluate optimization methods for fitting yield curves using the Nelson-Siegel model where recommendations in the literature remain unclear. I provide open source code on Github including contributions to the QuantLib C++ financial …
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THEORETICAL DETERMINATION OF THE YIELD CURVE FOR UNSATURATED SOILS
… constitutive model for unsaturated soils. The yield curve, which separates the elastic region from the elastoplastic region, is an important aspect of constitutive modeling for unsaturated soils. Most concepts for unsaturated soils were developed based upon the results from suction-controlled …
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The Study of Positive-Ion Mass Spectrometry of 5-Fluorouracil Using Low-Energy Electron Impact
… from 5 eV - 100 eV in 0.25 eV steps. Ion yield curves for most fragment ions were determined by fitting groups of peaks in the mass spectra with sequences of normalised Gaussians. The appearance energies for these ions were determined by fitting onset functions to the ion yield curves. By …
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Factors of the term structure of sovereign yield spreads and the effect on the uncovered interest rate parity model for exchange rate prediction
… (PCA) approach, we investigate the sovereign yield spread term structure of the BRICS economies against the U.S. We show that the term structure for these markets are primarily driven by three latent factors which can be classified as the spread level, slope and curvature factors. We further …
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Deep Calibration of Option Pricing Models
… and tested on out-of-sample actual market yield curves data. It is shown that the direct method has substantial improvements in time with a sacrifice in accuracy (a mean relative error of 2.88%). On the other hand, using the indirect method, it is shown that the calibrated parameters …
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Low-Energy Electron Impact Fragmentations of the Polycyclic Aromatic Hydrocarbon Anthracene
… set consists of a two-dimensional array of ion yield as a function of time-of-flight and of electron impact energy. Ion yield curves of most of the fragment ions have been determined by fitting groups of adjacent peaks in the mass spectra with sequences of normalized Gaussians. This is done …
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Efficient Monte Carlo simulations of pricing captions using Libor market models
… the behaviour of the entire zero coupon yield curve. The equity and yield curve, respectively, relate to the difference in the dynamics of a scalar variable and vector variable. Moreover, captions are second order with respect to the discount bonds in that they are options on caps (which …
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Essays in Multivariate Modelling in Finance
… interdependence structure of European sovereign yield curves as functions of market-wide and country-specific liquidity and credit quality measures. The empirical results highlight the significance of both liquidity and credit measures in explaining the dynamics and covariation of European yields …
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Yielding of unsaturated soil.
… models is the suggestion of the existence of a yield surface in mean net stress : deviator stress : suction space. Suction-controlled triaxial tests were performed to investigate the shape of the yield surface for unsaturated compacted speswhite kaolin with a particular stress history. The tests …
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An empirical comparison using both the term structure of interest rates and alternative models in pricing options on 90-day BAB futures
… 90-day Bank Accepted Bill (BAB) futures. Monthly yield curves are generated from cash, futures, swap and interest rate cap data. A number of different methods of analysis are used. These include the use of inferential statistics, non-parametric sign tests and Ordinary Least Square Regressions. The …
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Secondary organic aerosol formation of relevance to the marine boundary layer
… significant amounts of aerosol. The SOA yields of alpha-pinene, beta-pinene, and d-limonene obtained in this study are comparable to those when they are oxidized by ozone, by nitrate radical, and in photooxidation scenarios. For aerosol mass up to 30.0 mug m-3, their yields reach …
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Development of risk-based groundwater operating rules: a case study of Siloam Village, South Africa
… are often operated without relating groundwater yield/availability to demand which makes groundwater resource planning and management challenging and unpredictable. Risk-based approaches for developing groundwater operating rules comprehensively incorporate assurance of supply and also account …