PhD thesis: modeling the term structure of interest rates
In his dissertation, Kees Bouwman bundles five studies in financial econometrics that are related to the theme of modeling the term structure of interest rates. The main contribution of Bouwman’s dissertation is a new arbitrage-free term structure model that is applied in an empirical analysis of the US term structure. The model has a simple but flexible structure and uses factors that have a clear economic interpretation. The empirical analysis indicates that time-varying risk premia are a dominating factor in the relation between the term structure and the business cycle. Furthermore, a comparison of the short rate implied by the model and the Federal Funds target rate shows that the implied short rate leads the target.
The dissertation also contains other contributions. First, the solution to the classical Mean-Variance portfolio selection problem is uniformly generalized to a dynamic context. Secondly, the influence of large shocks in stock returns on volatility measures is examined. Finally, this dissertation develops a method to incorporate no-arbitrage information in fitting a sequence of yield curves.
PhD ceremony: K.E. Bouwman, economics and business, 6 March 2008, 1.15 pm, Academiegebouw, Broerstraat 5, Groningen
Promotor: prof.dr. P.A. Bekker
Thesis: Essays on financial econometrics: modeling the term structure of interest rates
Last modified: | 31 January 2018 11.52 a.m. |
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