Essays about: "Rasmus Rehn"
Found 3 essays containing the words Rasmus Rehn.
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1. Stochastic modeling of yield curve shifts usingfunctional data analysis
University essay from KTH/Matematisk statistikAbstract : This thesis approaches the problem of modeling the multivariate distribution of interest rates by implementing a novel tool of statistics known as functional data analysis (FDA). This is done by viewing yield curve shifts as distinct but continuous stochastic objects defined over a continuum of maturities. READ MORE
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2. The impact of redenomination risk in the European government bond market
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This paper provides an empirical analysis of European sovereign yield spreads in times when these may be influenced by redenomination risk arising from the possibility that one or several countries may leave the EMU. To test for redenomination risk impact on yield spreads, I estimate one regression model with a country-specific euro break-up risk indicator and one regression model with an event-indicator assumed to display inter-European reduction in this risk through the intervention by the ECB. READ MORE
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3. Stock market cointegration in Europe
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : In this paper we try to uncover long-run dependency structures by testing for cointegration among six major European stock indices during the first eleven years and four months of the 21st century. We find strong support for one cointegrating vector, indicating that the national stock markets follow the same long-run growth path, and that no market is likely to have substantially greater or worse relative performance over time. READ MORE