Yield Curve Modeling and the Effect of Macroeconomic Drivers: Dynamic Nelson-Siegel Approach

• Název práce v češtině: Modelování výnosových křivek a efekt makroekonomických proměnných: Dynamický Nelson-Siegelův přístup
• Název v anglickém jazyce: Yield Curve Modeling and the Effect of Macroeconomic Drivers: Dynamic Nelson-Siegel Approach
• Klíčová slova: Nelson-Siegel, Kalmanùv filtr, Kalmanovo vyhlazování, Stace space formulace
• Klíčová slova anglicky: Nelson-Siegel, Kalman filter, Kalman smoother, Stace space formulation
• Akademický rok vypsání: 2010/2011
• Typ práce: diplomová práce
• Jazyk práce: angličtina
• Ústav: Institut ekonomických studií (23-IES)
• Vedoucí / školitel: PhDr. Boril Šopov, M.Sc., LL.M.
• Řešitel: skrytý - zadáno vedoucím/školitelem
• Datum přihlášení: 07.06.2011
• Datum zadání: 07.06.2011
• Datum a čas obhajoby: 28.06.2012 00:00
• Místo konání obhajoby: Opetalova ul. 26
• Datum odevzdání elektronické podoby: 18.05.2012
• Datum proběhlé obhajoby: 28.06.2012
• Oponenti: prof. Ing. Miloslav Vošvrda, CSc.

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