Date: 2001
Type: Thesis
Essays on the econometric analysis of yield curve models
Florence : European University Institute, 2001, EUI, ECO, PhD Thesis
LIBORIO, Joao, Essays on the econometric analysis of yield curve models, Florence : European University Institute, 2001, EUI, ECO, PhD Thesis - 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; ECO; PhD Thesis
Publisher: European University Institute
LC Subject Heading: Rate of return -- Econometric models
