Forecasting interest rates in India
P Dua, N Raje, S Sahoo - Margin: The Journal of Applied …, 2008 - journals.sagepub.com
This paper develops univariate (ARIMA and ARCH/GARCH) and multivariate models (VAR,
VECM and Bayesian VAR) to forecast short-and long-term rates, viz., call money rate, 15–91 …
VECM and Bayesian VAR) to forecast short-and long-term rates, viz., call money rate, 15–91 …
A survey on interest rate forecasting
Y Fauvel, A Paquet, C Zimmermann - 1999 - ideas.repec.org
This survey covers the major methods used to forecast interest rates. The theoretical
underpinings are presented and discussed in the perspective of forecast accuracy using …
underpinings are presented and discussed in the perspective of forecast accuracy using …
[BOOK][B] USING A PORTFOLIO-STYLE STRUCTURAL MODEL OF THE SUPPLY OF MONEY TO ANALYZE THE FEDERAL RESERVE'S OCTOBER 1979 TECHNICAL …
SD Aguais - 1986 - search.proquest.com
Abstract In October 1979, the Federal Reserve System moved its policy regime away from
interest rates and toward a reserve-based operating procedure. This change in monetary …
interest rates and toward a reserve-based operating procedure. This change in monetary …
[BOOK][B] The Determination of Long-term Interest Rates: The Roles of Security Supplies and Expectations
SY Kim - 1984 - search.proquest.com
The observed volatility of long rates (holding period yields) exceeds considerably the
change in long rates implied by the expectations model of the term structure currently used …
change in long rates implied by the expectations model of the term structure currently used …
[BOOK][B] Changes in price differentials of callable bonds as predictors of interest rates
D Sen - 1995 - search.proquest.com
Numerous studies have attempted to forecast interest rates with mixed degree of success.
These have used structural models as well as information contained in forward rates to …
These have used structural models as well as information contained in forward rates to …
Risikopolitische Maßnahmen im Rahmen des Managements von Zinsänderungsrisiken
M Bangert, M Bangert - Zinsrisiko-Management in Banken, 1987 - Springer
Auf der Basis des formulierten Vorschlags zur Messung des ZÄR können wir nun
sachgerecht die Eignung risikopolitischer Maßnahmen zur Steuerung des ZÄR prüfen. Die …
sachgerecht die Eignung risikopolitischer Maßnahmen zur Steuerung des ZÄR prüfen. Die …