Empirical Analysis of the EU Term Structure of Interest Rates

By (author) Zurab Kotchlamazashvili

Book cover: Empirical Analysis of the EU Term Structure of Interest Rates

Extent: 205 pages

Publisher: Logos Verlag Berlin

Subjects: Business & Economics

Language: English

Paperback (Published)

(December 2014)

ISBN: 9783832538736

5.71 x 8.27 inches

Price: $55.00

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The information about the properties and dynamics of term structure and its modeling hold tremendous interest for financial practitioners and policymakers alike. Accurate forecasting of the term structure of interest rates also plays a very important role for many reasons, particularly for bond portfolio and risk management, hedging derivatives, monetary and debt policy. The present dissertation contains the empirical research for the EU term structure of interest rates. The data analyzed here cover a time series based on the Euro and currencies of other six EU countries. The goal is to examine empirical properties and analyze in-sample and out-of-sample results for corresponding spot rates using 15 competitor GARCH(1,1) models with different distributional assumptions. Alltogether, the work summarizes 1680 x GARCH(1,1) in-sample and over 60000 x GARCH(1,1) out-of-sample estimation results. Moreover, the dissertation consists of 48 figures and 98 tables.

  • By (author) Zurab Kotchlamazashvili

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