Concept

Inverted yield curve

Related publications (11)

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Stripping the Swiss discount curve using kernel ridge regression

Damir Filipovic

We analyze and implement the kernel ridge regression (KR) method developed in Filipovic et al. (Stripping the discount curve-a robust machine learning approach. Swiss Finance Institute Research Paper No. 22-24. SSRN. https://ssrn.com/abstract=4058150, 2022 ...

Springer Heidelberg2024

Essays in Monetary Policy and Asset Pricing

Benoit Vincent Sylvain Cornet

This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices.The first chapter, entitled Market Expectations and the Impact of Unconven ...

EPFL2022

A Quantitative Comparison of Yield Curve Models in the MINT Economies

A yield curve is a line plotting bond yields (i.e. interest rates) as a function of their maturity date (their "expiration date''). When on a national scale, the yield curve represents the underlying interest rate structure of a country's economy. It is fu ...

2020

Indole- and Pyrrole-BX: Bench-Stable Hypervalent Iodine Reagents for Heterocycle Umpolung

Jérôme Waser, Stefano Nicolai, Paola Caramenti

The one-step synthesis of the bench-stable hypervalent iodine reagents IndoleBX and PyrroleBX using mild Lewis acid catalyzed conditions is reported. The new reagents are stable up to 150 degrees C and were applied in the C-H arylation of unactivated arene ...

2017

Internal electric fields and electrode effects in ferroelectric thin films for piezoelectric energy harvesting

Robin Nigon

The continuing decrease of power requirements of electronic circuits offers the potential to deploy wireless systems as embedded sensors for cars or industrial tools, and implanted medical devices. Harvesting ambient vibrations by an appropriate energy har ...

EPFL2017

The geomorphic origin of recession curves

Nevena Tomasic

An important study domain in hydrology is dedicated to understand how the spatial organization of river networks is reflected in the hydrologic response to rainfall inputs (Biswal and Marani, 2010). Base flow (or recession flow) is the discharge rate in a ...

2011

Can interest rate volatility be extracted from the cross section of bond yields?☆

Pierre Collin Dufresne

Most affine models of the term structure with stochastic volatility predict that the variance of the short rate should play a 'dual role' in that it should also equal a linear combination of yields. However, we find that estimation of a standard affine thr ...

Elsevier2009

Long Run Forward Rates and Long Yields of Bonds and Options in Heterogeneous Equilibria

Semyon Malamud

We prove that, in a heterogeneous economy with scale-invariant utilities, the yield of a long term bond is determined by the agent with maximal expected marginal utility. We also prove that the same result holds for the long term forward rates. Furthermore ...

2008

We propose a simple approach to extend the Heath, Jarrow and Morton (1992) model to a framework where the volatility of bond prices and forward rates is stochastic and where volatility-specific risk cannot necessarily be hedged in trading bonds. The arbitr ...

Carnegie Mellon University1997

When treated with KOCMe3 in THF, fluorohydrin p-tosylates afford fluoro olefins, e.g., Z- or E-Me(CH2)4CF:CH(CH2)4Me, in high yields. Fluorohydrins are readily and stereoselectively accessible by antiperiplanar addn. of HF to oxiranes. Terminal epoxides gi ...

1990