Date: 2001
Type: Thesis
Essays on the econometric analysis of yield curve models
Florence, European University Institute, 2001, EUI PhD theses, Department of Economics
LIBORIO, Joao, Essays on the econometric analysis of yield curve models, Florence, European University Institute, 2001, EUI PhD theses, Department of Economics - https://hdl.handle.net/1814/4990
Retrieved from Cadmus, EUI Research Repository
Table of Contents:
-- Yield curve models and their econometric analysis : a review
-- Estimating and testing affine yield curve models : comparing (Q)ML and Indirect Inference in a small sample
-- Dynamic bond portfolio choice in a model with Gaussian-diffusion regimes
-- A note on principal components and cointegration analysis of the yield curve
Additional information:
Defence date: 21 May 2001; Examining board: Prof. Giuseppe Bertola, EUI ; Prof. George Jiang, York University Toronto ; Prof. Søren Johansen, EUI, Supervisor ; Prof. Eric Renault, University of Montreal; PDF of thesis uploaded from the Library digitised archive of EUI PhD theses completed between 2013 and 2017
Cadmus permanent link: https://hdl.handle.net/1814/4990
Series/Number: EUI PhD theses; Department of Economics
LC Subject Heading: Rate of return -- Econometric models
