Search for dissertations about: "Nelson-Siegel"

Found 1 swedish dissertation containing the word Nelson-Siegel.

2. 1. Essays on Macro-Financial Linkages

   Author : Rafael Barros de Rezende; Handelshögskolan i Stockholm; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

   Abstract : This doctoral thesis is a collection of four papers on the analysis of the term structure of interest rates with a focus at the intersection of macroeconomics and finance. "Risk in Macroeconomic Fundamentals and Bond Return Predictability" documents that factors related to risks underlying the macroeconomy such as expectations, uncertainty and downside (upside) macroeconomic risks are able to explain variation in bond risk premia. READ MORE