Calibration of Interest Rate Models - Transition Market Case
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- Martin Vojtek, 2004. "Calibration of Interest Rate Models - Transition Market Case," CERGE-EI Working Papers wp237, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Dana Cíchová Králová, 2015.
"Využití modelu BGM při řízení úrokového rizika v českém prostředí v období po finanční krizi
[Aplication of the BGM Model for Interest Rate Risk Management in the Czech Environment after Financial ," Politická ekonomie, University of Economics, Prague, vol. 2015(6), pages 714-758.
- Płuciennik Piotr, 2012. "Influence of the American Financial Market on Other Markets During the Subprime Crisis," Folia Oeconomica Stetinensia, Sciendo, vol. 12(2), pages 19-30, December.
- Jiří Witzany, 2009. "Valuation of Convexity Related Interest Rate Derivatives," Prague Economic Papers, University of Economics, Prague, vol. 2009(4), pages 309-326.
More about this item
KeywordsInterest rate; Interest rate models; Calibration; Transition countries;
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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