$25.00
We introduce a new methodology for yield curve attribution based on empirical techniques. Our method takes the par yield curve for the beginning and ending dates of the period into consideration to find the implied return of synthetic treasury securities.
Author: Maria de Sousa Vieira, Ph.D.
Description
We introduce a new methodology for yield curve attribution based on empirical techniques. Our method takes the par yield curve for the beginning and ending dates of the period into consideration to find the implied return of synthetic treasury securities. Then via minimization processes we find the movements of the yield curve of the beginning date that best explain the return for those securities.
Related products
-
A Hierarchy of Methods for Calculating Rates of Return
$25.00 Add to cart -
A Consistent Linking Concept for Fast Calculations of the Rate of Return and Research of Investment
$25.00 Add to cart -
A Conceptual Framework for the Development and Verification of Attribution Models
$25.00 Add to cart -
A Comparison of GIPS and the AIMR-PPS
$5.00 Add to cart