master thesis
Živa Mitar (Author), Bojan Basrak (Mentor)

Abstract

Modelling the term premium : Cochrane-Piazzesi measure

Keywords

term premium;yield structure;multiple linear regression;ordinary least squares;Cochrane-Piazzesi measure;autocorrelation;

Data

Language: English
Year of publishing:
Typology: 2.09 - Master's Thesis
Organization: UL FMF - Faculty of Mathematics and Physics
Publisher: [Ž. Mitar]
UDC: 519.2
COBISS: 17283417 Link will open in a new window
Views: 1100
Downloads: 506
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Other data

Secondary language: Slovenian
Secondary title: Modeliranje terminske premije: Cochrane-Piazzesiina mera
Secondary keywords: terminska premija;časovna struktura obrestnih mer;večkratna linearna regresija;metoda najmanjših kvadratov;Cochrane-Piazzesiina mera;avtokorelacija časovnih vrst;
Type (COBISS): Master's thesis/paper
Thesis comment: Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 2. stopnja
Pages: XII, 89 str.
ID: 10911041