| Tekijä: | Howe, M. |
| Otsikko: | Bayesian approach to yield curve modelling with application to the simulation of EMU environments: generating scenarios by modelling yield curve movements |
| Lehti: | The European JOurnal of Finance
2000 : JUN, VOL. 6:2, p. 176-195 |
| Asiasana: | European Union Bond yields Portfolio management Simulation models Diversification International economics |
| Kieli: | eng |
| Tiivistelmä: | Global markets are changing rapidly, with emerging markets increasingly important and European markets changed structurally given EMU. In this environment, classical analyses for portfolio selection based on historical data may not be applicable. In this paper is presented a Bayesian approach to yield curve modelling that does not require long time series and which forms the basis for the generation of yield curve scenarios. |
SCIMA