FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2952809869> ?p ?o ?g. }

• W2952809869 abstract "We present a HJM approach to the projection of multiple yield curves developed to capture the volatility content of historical term structures for risk management purposes. Since we observe the empirical data at daily frequency and only for a finite number of time-to-maturity buckets, we propose a modelling framework which is inherently discrete. In particular, we show how to approximate the HJM continuous time description of the multi-curve dynamics by a Vector Autoregressive process of order one. The resulting dynamics lends itself to a feasible estimation of the model volatility-correlation structure and market risk-premia. Then, resorting to the Principal Component Analysis we further simplify the dynamics reducing the number of covariance components. Applying the constant volatility version of our model on a sample of curves from the Euro area, we demonstrate its forecasting ability through an out-of-sample test." @default.
• W2952809869 created "2019-06-27" @default.
• W2952809869 creator A5022477050 @default.
• W2952809869 creator A5042160438 @default.
• W2952809869 creator A5086057873 @default.
• W2952809869 creator A5086540973 @default.
• W2952809869 date "2014-11-14" @default.
• W2952809869 modified "2023-10-01" @default.
• W2952809869 title "Multi-curve HJM modelling for risk management" @default.
• W2952809869 cites W107661506 @default.
• W2952809869 cites W1489605740 @default.
• W2952809869 cites W185461399 @default.
• W2952809869 cites W1977593205 @default.
• W2952809869 cites W1977970167 @default.
• W2952809869 cites W1996914119 @default.
• W2952809869 cites W2005571962 @default.
• W2952809869 cites W2005617865 @default.
• W2952809869 cites W2039402606 @default.
• W2952809869 cites W2055406088 @default.
• W2952809869 cites W2076057077 @default.
• W2952809869 cites W2077252204 @default.
• W2952809869 cites W2104433707 @default.
• W2952809869 cites W2117009105 @default.
• W2952809869 cites W2117447427 @default.
• W2952809869 cites W2117897510 @default.
• W2952809869 cites W2125836937 @default.
• W2952809869 cites W2140030195 @default.
• W2952809869 cites W2159723913 @default.
• W2952809869 cites W2165918462 @default.
• W2952809869 cites W2165951442 @default.
• W2952809869 cites W2170444200 @default.
• W2952809869 cites W2477698159 @default.
• W2952809869 cites W3121414170 @default.
• W2952809869 cites W3123338165 @default.
• W2952809869 cites W3124030970 @default.
• W2952809869 cites W3124477952 @default.
• W2952809869 cites W3124873966 @default.
• W2952809869 cites W3125174933 @default.
• W2952809869 cites W3125918197 @default.
• W2952809869 cites W3125977952 @default.
• W2952809869 hasPublicationYear "2014" @default.
• W2952809869 type Work @default.
• W2952809869 sameAs 2952809869 @default.
• W2952809869 citedByCount "0" @default.
• W2952809869 crossrefType "posted-content" @default.
• W2952809869 hasAuthorship W2952809869A5022477050 @default.
• W2952809869 hasAuthorship W2952809869A5042160438 @default.
• W2952809869 hasAuthorship W2952809869A5086057873 @default.
• W2952809869 hasAuthorship W2952809869A5086540973 @default.
• W2952809869 hasConcept C10138342 @default.
• W2952809869 hasConcept C105795698 @default.
• W2952809869 hasConcept C149782125 @default.
• W2952809869 hasConcept C159877910 @default.
• W2952809869 hasConcept C162324750 @default.
• W2952809869 hasConcept C175025494 @default.
• W2952809869 hasConcept C176230804 @default.
• W2952809869 hasConcept C178650346 @default.
• W2952809869 hasConcept C187614132 @default.
• W2952809869 hasConcept C27438332 @default.
• W2952809869 hasConcept C33923547 @default.
• W2952809869 hasConcept C41008148 @default.
• W2952809869 hasConcept C60092789 @default.
• W2952809869 hasConcept C91602232 @default.
• W2952809869 hasConceptScore W2952809869C10138342 @default.
• W2952809869 hasConceptScore W2952809869C105795698 @default.
• W2952809869 hasConceptScore W2952809869C149782125 @default.
• W2952809869 hasConceptScore W2952809869C159877910 @default.
• W2952809869 hasConceptScore W2952809869C162324750 @default.
• W2952809869 hasConceptScore W2952809869C175025494 @default.
• W2952809869 hasConceptScore W2952809869C176230804 @default.
• W2952809869 hasConceptScore W2952809869C178650346 @default.
• W2952809869 hasConceptScore W2952809869C187614132 @default.
• W2952809869 hasConceptScore W2952809869C27438332 @default.
• W2952809869 hasConceptScore W2952809869C33923547 @default.
• W2952809869 hasConceptScore W2952809869C41008148 @default.
• W2952809869 hasConceptScore W2952809869C60092789 @default.
• W2952809869 hasConceptScore W2952809869C91602232 @default.
• W2952809869 hasLocation W29528098691 @default.
• W2952809869 hasOpenAccess W2952809869 @default.
• W2952809869 hasPrimaryLocation W29528098691 @default.
• W2952809869 hasRelatedWork W1511161229 @default.
• W2952809869 hasRelatedWork W1513068275 @default.
• W2952809869 hasRelatedWork W2029678442 @default.
• W2952809869 hasRelatedWork W2090845957 @default.
• W2952809869 hasRelatedWork W2258758269 @default.
• W2952809869 hasRelatedWork W2404072161 @default.
• W2952809869 hasRelatedWork W2964334813 @default.
• W2952809869 hasRelatedWork W2996082865 @default.
• W2952809869 hasRelatedWork W3094345638 @default.
• W2952809869 hasRelatedWork W3121149392 @default.
• W2952809869 hasRelatedWork W3121615590 @default.
• W2952809869 hasRelatedWork W3121637565 @default.
• W2952809869 hasRelatedWork W3121883466 @default.
• W2952809869 hasRelatedWork W3122215107 @default.
• W2952809869 hasRelatedWork W3122897858 @default.
• W2952809869 hasRelatedWork W3122955988 @default.
• W2952809869 hasRelatedWork W3123174635 @default.
• W2952809869 hasRelatedWork W3208241741 @default.
• W2952809869 hasRelatedWork W346668725 @default.
• W2952809869 hasRelatedWork W42742690 @default.

• next