Concept

Yield curve

Related publications (82)

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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

Takeover Protections and Asset Prices

Erwan Morellec

We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...

Catonsville2024

Exchange options with stochastic liquidity risk

Puneet Pasricha

In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...

PERGAMON-ELSEVIER SCIENCE LTD2023

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

Performance and reproducibility of C-13 and N-15 hyperpolarization using a cryogen-free DNP polarizer

Hikari Ananda Infinity Yoshihara, Arianna Ferrari

The setup, operational procedures and performance of a cryogen-free device for producing hyperpolarized contrast agents using dissolution dynamic nuclear polarization (dDNP) in a preclinical imaging center is described. The polarization was optimized using ...

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Dominant currency debt

Semyon Malamud

We propose a “debt view” to explain the dominant international role of the dollar. Within a simple capital-structure model with debt-currency choice, we show that the “dominant currency” is the one that (1) depreciates in global downturns over horizons of ...

2021

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

Slow Moving Capital and Trade Execution Costs: Evidence from a major trading Glitch

Pierre Collin Dufresne, Vincent Jean Bogousslavsky

We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional trading costs (implementation shortfall and VWAP slippage ...

2020

Understanding Mortgage Spreads

Andreas Fuster

Because most mortgages in the United States are securitized in agency mortgage-backed securities (MBS), yield spreads on MBS are a key determinant of homeowners’ funding costs. We study variation in MBS spreads in the time series and across securities and ...

2019

Activity-Based Screening of Homogeneous Catalysts through the Rapid Assessment of Theoretically Derived Turnover Frequencies

Matthew Wodrich, Boodsarin Sawatlon

In homogeneous catalysis, the turnover frequency (TOF) and turnover number (TON) are the most commonly used quantities that experimentally describe catalytic activity. Computational studies, on the other hand, generally yield the ubiquitous free energy pro ...

AMER CHEMICAL SOC2019

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