A joint macroeconomic and term structure model: a FAVAR approach to the ang and Piazzesi model
Amati, Lorenzo (A.A. 2018/2019) A joint macroeconomic and term structure model: a FAVAR approach to the ang and Piazzesi model. Tesi di Laurea in Asset pricing, Luiss Guido Carli, relatore Paolo Porchia, pp. 64. [Master's Degree Thesis]
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Abstract/Index
Bonds: components and models. Bonds definition and bond yield curve. A joint macroeconomic & term structure VAR. The ang Piazzesi model: a complete derivation. Estimation results.
References
Bibliografia: pp. 47-48.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree program in Corporate Finance, English language (LM-77) |
| Chair: | Asset pricing |
| Thesis Supervisor: | Porchia, Paolo |
| Thesis Co-Supervisor: | Pirra, Marco |
| Academic Year: | 2018/2019 |
| Session: | Extraordinary |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 21 Jul 2020 10:41 |
| Last Modified: | 21 Jul 2020 10:41 |
| URI: | https://tesi.luiss.it/id/eprint/26877 |
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