165,535 research outputs found
Modelo de fatores dinâmicos: aplicação à estrutura a termo da taxa de juros
No full textDissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Sócio Econômico, Programa de Pós-Graduação em Economia, Florianópolis, 2013.O principal objetivo deste trabalho é modelar o comportamento da estrutura a termo da taxa de juros brasileira e gerar boas previsões para horizontes distintos, seja de curto, médio e de longo prazo em diversas maturidades. Seguindo os trabalhos de Diebold e Li (2006), aplicaremos a estimação do modelo para uma amostra com dados diários de NTN?s-B, e a partir dele previsões são geradas e comparadas com modelos de estimação e previsão concorrentes (RW, Svensson e modelo de dois fatores). O resultado de previsão encontrado nos levou a concluir que o modelo de Diebold e Li não é o mais adequado para o caso brasileiro e que para muitas maturidades nos diversos horizontes de previsão tal modelo é batido por meros passeios aleatórios. Porém, utilizando um modelo Diebold e Li modificado, mais simples e parcimonioso, alcançamos modelos com qualidade superior de previsões àqueles concorrentes, inclusive randow walks. Razões para o sucesso de previsão desse modelo de dois fatores são apontadas, assim como uma agenda de pesquisa futura para a estrutura a termo da taxa de juros brasileira.Abstract : The main objective of this work is to model the behavior of the term structure of interest rates in Brazil and generate good predictions for different horizons, whether short, medium and long term in various maturities. Following the work of Diebold and Li (2006), we apply the estimation of the model for a sample of daily data NTN's-B, and predictions from it are generated and compared with models for estimating and forecasting competitors (RW, Svensson and two model factors). The result of prediction found led us to conclude that the Diebold and Li model is not the most appropriate for Brazil and for many maturities in different forecast horizons such model is outperformed by simple random walks. However, using a model modified Diebold and Li, simpler and more parsimonious models achieve superior forecasts to those of competitors, including randow walks. Reasons for the successful prediction of this model two factors are noted as well as a research agenda for the future term structure of interest rates in Brazil
[Report to Chief J. E. Curry, by an unknown author #1]
No full textReport to Chief J. E. Curry, by an unknown author. The report contains a list of officers who gave depositions to the United States Attorney
[Report to Chief J. E. Curry, by an unknown author #2]
No full textReport to Chief J. E. Curry, by an unknown author. The report contains a list of officers who gave depositions to the United States Attorney
Global yield curve dynamics and interactions: a dynamic Nelson-Siegel approach
No full textThe popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in a framework that allows for both global and country-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U.S., we find that global yield factors do indeed exist and are economically important, generally explaining significant fractions of country yield curve dynamics, with interesting differences across countries
Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange
No full textWe provide a framework for evaluating and improving multivariate density forecasts. Among other things, the multivariate framework lets us evaluate the adequacy of density forecasts involving cross-variable interactions, such as time-varying conditional correlations. We also provide conditions under which a technique of density forecast "calibration" can be used to improve deficient density forecasts. Finally, motivated by recent advances in financial risk management, we provide a detailed application to multivariate high-frequency exchange rate density forecasts. Copyright © 1998 F.X. Diebold, J. Hahn, and A.S. Tay. This paper is also available at
Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
No full textThe popular Nelson-Siegel (1987) yield curve is routinely fit to cross sections of intra-country bond yields, and Diebold and Li (2006) have recently proposed a dynamized version. In this paper we extend Diebold-Li to a global context, modeling a potentially large set of country yield curves in a framework that allows for both global and country-specific factors. In an empirical analysis of term structures of government bond yields for the Germany, Japan, the U.K. and the U.S., we find that global yield factors do indeed exist and are economically important, generally explaining significant fractions of country yield curve dynamics, with interesting differences across countries.Term Structure, Interest Rate, Dynamic Factor Model, Global Yield, World Yield, Bond Market
Histopathology of nodal and extranodal non-hodgkin's lymphomas
No full textThis volume - Histopathology of Nodal and Extranodal Non-Hodgkin's Lymphomas - is an expanded and completely revised edition, now based on the WHO classification. The parallels to the updated Kiel classification and the REAL classification are indicated. The information is organized in organ-specific chapters, comprising the well-known nodal lymphoma entities as well as all known extranodal lymphomas and the different organ-specific clinico-pathological entities: lymphomas of the spleen, the gastrointestinal tract, the skin, etc. In addition to the morphology, the major immunohistochemical, molecular genetic, and clinical data are included in each chapter
Murder on the mountain: author talk with Peter J. Wosh
No full textAuthor talk by Peter J. Wosh on May 5th, 2022, on his book, "Murder on the Mountain: crime, passion, and punishment in gilded age New Jersey.
Mr. Melvin J. Collier, RWWL AUC, June 2011
No full textThis video is a conversation with Mr. Melvin J. Collier. Mr. Collier talks about his book, "From Mississippi to Africa: A Journey of Discovery". Daniel Le, AUC Woodruff Library, is the interviewer
Exchange Rate Returns Standardized by Realized Volatility Are (Nearly) Gaussian
No full textThe prescriptions of modern financial risk management hinge critically on the associated characterization of the distribution of future returns (cf., Diebold, Gunther and Tay, 1998, and Diebold, Hahn and Tay, 1999). Because volatility persistence renders high-frequency returns temporally dependent (e.g., Bollerslev, Chou and Kroner, 1992), it is the conditional return distribution, and not the unconditional distribution, that is of relevance for risk management. This is especially true in high-frequency situations, such as monitoring and managing the risk associated with the day-to-day operations of a trading desk, where volatility clustering is omnipresent. Exchange rate returns are well-known to be unconditionally symmetric but highly leptokurtic. Standardized daily or weekly returns from ARCH and related stochastic volatility models also appear symmetric but leptokurtic; that is, the distributions are not only unconditionally, but also conditionally leptokurtic, although less so than unconditionally.1 A sizable literature explicitly attempts to model the fat-tailed conditional distributions, including, for example, Bollerslev (1987), Engle and Gonzalez-Rivera (1991), and Hansen (1994).
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