Essays on the term structure of interest rates
- Cieslak, Anna
- Trojani, Fabio (Degree supervisor)
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03.06.2011
263 p
Thèse de doctorat: Università della Svizzera italiana, 2011 (jury note: summa cum laude)
Yield curve
Interest rate volatility
Term premia
Return predictability
Inflation expectations
High-frequency data
Matrix-valued stochastic processes
English
This doctoral thesis focuses on fixed income markets exploring two essential questions in this area: (i) the risk compensation for holding Treasury bonds and (ii) the behavior of interest rate volatilities across different maturities. The objective is to understand the effect of changes in risk premia and in yield volatilities on bond prices, identify their economic drivers, and to propose new modeling approaches to accommodate these features.
- Language
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- English
- Classification
- Economics
- License
- License undefined
- Identifiers
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- RERO DOC 24835
- URN urn:nbn:ch:rero-006-110181
- ARK ark:/12658/srd1318219
- Persistent URL
- https://n2t.net/ark:/12658/srd1318219
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