Pretražite po imenu i prezimenu autora, mentora, urednika, prevoditelja

Napredna pretraga

Pregled bibliografske jedinice broj: 415170

Comparative Analysis of the Stochastic and Parsimonious Interest Rates Models on Croatian Government Market


Aljinović, Zdravka; Marasović, Branka; Škrabić, Blanka
Comparative Analysis of the Stochastic and Parsimonious Interest Rates Models on Croatian Government Market // International Journal of Business, Economics, Finance and Management Sciences, 1 (2009), 1; 6-10 (podatak o recenziji nije dostupan, članak, znanstveni)


CROSBI ID: 415170 Za ispravke kontaktirajte CROSBI podršku putem web obrasca

Naslov
Comparative Analysis of the Stochastic and Parsimonious Interest Rates Models on Croatian Government Market

Autori
Aljinović, Zdravka ; Marasović, Branka ; Škrabić, Blanka

Izvornik
International Journal of Business, Economics, Finance and Management Sciences (2070-0519) 1 (2009), 1; 6-10

Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni

Ključne riječi
the term structure of interest rates; Vasicek model; Nelson-Siegel model; Croatian Government market

Sažetak
The paper provides a discussion of the most relevant aspects of yield curve modeling. Two classes of models are considered: stochastic and parsimonious function based, through the approaches developed by Vasicek (1977) and Nelson and Siegel (1987). Yield curve estimates for Croatia are presented and their dynamics analyzed and finally, a comparative analysis of models is conducted.

Izvorni jezik
Engleski

Znanstvena područja
Ekonomija



POVEZANOST RADA


Projekti:
055-0000000-0861 - Financijska politika i financijsko-ekonomski okvir podrške SME (Vidučić, Ljiljana, MZOS ) ( POIROT)
055-0000000-1435 - Matematički modeli u analizi razvoja hrvatskog financijskog tržišta (Aljinović, Zdravka, MZOS ) ( POIROT)

Ustanove:
Ekonomski fakultet, Split

Profili:

Avatar Url Zdravka Aljinović (autor)

Avatar Url Branka Marasović (autor)

Citiraj ovu publikaciju:

Aljinović, Zdravka; Marasović, Branka; Škrabić, Blanka
Comparative Analysis of the Stochastic and Parsimonious Interest Rates Models on Croatian Government Market // International Journal of Business, Economics, Finance and Management Sciences, 1 (2009), 1; 6-10 (podatak o recenziji nije dostupan, članak, znanstveni)
Aljinović, Z., Marasović, B. & Škrabić, B. (2009) Comparative Analysis of the Stochastic and Parsimonious Interest Rates Models on Croatian Government Market. International Journal of Business, Economics, Finance and Management Sciences, 1 (1), 6-10.
@article{article, author = {Aljinovi\'{c}, Zdravka and Marasovi\'{c}, Branka and \v{S}krabi\'{c}, Blanka}, year = {2009}, pages = {6-10}, keywords = {the term structure of interest rates, Vasicek model, Nelson-Siegel model, Croatian Government market}, journal = {International Journal of Business, Economics, Finance and Management Sciences}, volume = {1}, number = {1}, issn = {2070-0519}, title = {Comparative Analysis of the Stochastic and Parsimonious Interest Rates Models on Croatian Government Market}, keyword = {the term structure of interest rates, Vasicek model, Nelson-Siegel model, Croatian Government market} }
@article{article, author = {Aljinovi\'{c}, Zdravka and Marasovi\'{c}, Branka and \v{S}krabi\'{c}, Blanka}, year = {2009}, pages = {6-10}, keywords = {the term structure of interest rates, Vasicek model, Nelson-Siegel model, Croatian Government market}, journal = {International Journal of Business, Economics, Finance and Management Sciences}, volume = {1}, number = {1}, issn = {2070-0519}, title = {Comparative Analysis of the Stochastic and Parsimonious Interest Rates Models on Croatian Government Market}, keyword = {the term structure of interest rates, Vasicek model, Nelson-Siegel model, Croatian Government market} }

Uključenost u ostale bibliografske baze podataka::


  • SCIRUS
  • Google Scholar
  • EBSCO
  • GALE
  • INTUTE
  • DOAJ
  • Ulrich'&serials Solutions
  • Electronic Journals Library





Contrast
Increase Font
Decrease Font
Dyslexic Font