Modelling the term premium : Cochrane-Piazzesi measure : master thesis

Mitar, Živa (author), Basrak, Bojan (mentor)

• Language: English
• Keywords: term premium, yield structure, multiple linear regression, ordinary least squares, Cochrane-Piazzesi measure, autocorrelation
• Work type: Master's thesis/paper
• Typology: 2.09 - Master's Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Place of publishing: Ljubljana
• Publisher: [Ž. Mitar]
• Year: 2015
• Number of pages: XII, 89 str.
• PID: 20.500.12556/RUL-96820
• UDC: 519.2
• COBISS.SI-ID: 17283417
• Publication date in RUL: 16.10.2017

Secondary language

• Language: Slovenian
• Title: Modeliranje terminske premije: Cochrane-Piazzesiina mera
• Keywords: terminska premija, časovna struktura obrestnih mer, večkratna linearna regresija, metoda najmanjših kvadratov, Cochrane-Piazzesiina mera, avtokorelacija časovnih vrst