Arbitrage Smoothing in Fitting a Sequence of Yield Curves

2008 ◽  
Author(s):  
Paul A. Bekker ◽  
Kees E. Bouwman
Keyword(s):  
Yield Curves

Modeling the green bond yield on bond offering

2020 ◽  
Vol 26 (12) ◽  
pp. 2858-2878
Author(s):  
M.I. Emets
Keyword(s):  
Linear Regression ◽  
Yield Curve ◽  
Bond Market ◽  
Third Party ◽  
Bond Pricing ◽  
Market Development ◽  
Fair Price ◽  
Lower Yield ◽  
Yield Curves ◽  
Bond Yield

Subject. The article addresses the green bond pricing as compared to bonds other than green ones. Objectives. The aims are to determine how the fact that a bond is identified as a green one, the issue amount, and the availability of third-party verification, influence the yield to maturity; to make recommendations on effective green bond pricing. Methods. The study employs econometric testing of hypotheses, using the multiple linear regression. The sample includes 318 green and 1695 conventional bonds. Results. Green bonds have a lower yield to maturity in comparison with conventional bonds. The yield to maturity of green bonds with third-party verification is lower, as contrasted with green bonds without verification. Conclusions. The next step in the green bond market development is creating a benchmark yield curve for sovereign green bonds, with parallel issuance of conventional, non-green bonds. The yield curve is crucial for effective bond pricing. Two yield curves, i.e. for green and non-green bonds, will enable investors to estimate the fair price on issuance, as well as to define, if there is a difference in pricing.

Empirical Analysis and Forecasting of Multiple Yield Curves

2019 ◽  
Author(s):  
Christoph Gerhart ◽  
Eva Lütkebohmert
Keyword(s):  
Empirical Analysis ◽  
Yield Curves

Bargaining, Yield Curves, and Wage Settlements: An Empirical Analysis

1974 ◽  
Vol 82 (2, Part 1) ◽  
pp. 303-313 ◽  
Author(s):  
Yochanan Comay ◽  
Arie Melnik ◽  
Abraham Subotnik
Keyword(s):  
Empirical Analysis ◽  
Yield Curves

scholarly journals Mathematical Modelling of Ultrasound-Assisted Extraction Kinetics of Bioactive Compounds from Artichoke By-Products

Foods ◽  
2021 ◽  
Vol 10 (5) ◽  
pp. 931
Author(s):  
Cristina Reche ◽  
Carmen Rosselló ◽  
Mónica M. Umaña ◽  
Valeria Eim ◽  
Susana Simal
Keyword(s):  
Power Density ◽  
Bioactive Compounds ◽  
Extraction Yield ◽  
Total Phenolic ◽  
Model Parameters ◽  
Ultrasound Assisted Extraction ◽  
Yield Curves ◽  
Assisted Extraction ◽  
Ultrasound Assisted ◽  
Ultrasound Power

Valorization of an artichoke by-product, rich in bioactive compounds, by ultrasound-assisted extraction, is proposed. The extraction yield curves of total phenolic content (TPC) and chlorogenic acid content (CAC) in 20% ethanol (v/v) with agitation (100 rpm) and ultrasound (200 and 335 W/L) were determined at 25, 40, and 60 °C. A mathematical model considering simultaneous diffusion and convection is proposed to simulate the extraction curves and to quantify both temperature and ultrasound power density effects in terms of the model parameters variation. The effective diffusion coefficient exhibited temperature dependence (72% increase for TPC from 25 °C to 60 °C), whereas the external mass transfer coefficient and the equilibrium extraction yield depended on both temperature (72% and 90% increases for TPC from 25 to 60 °C) and ultrasound power density (26 and 51% increases for TPC from 0 (agitation) to 335 W/L). The model allowed the accurate curves simulation, the average mean relative error being 5.3 ± 2.6%. Thus, the need of considering two resistances in series to satisfactorily simulate the extraction yield curves could be related to the diffusion of the bioactive compound from inside the vegetable cells toward the intercellular volume and from there, to the liquid phase.

Yield Curves for Li + Li and Li + Be Nuclear Reactions

1971 ◽  
Vol 3 (6) ◽  
pp. 2185-2191 ◽  
Author(s):  
H. W. Wyborny ◽  
R. R. Carlson
Keyword(s):  
Nuclear Reactions ◽  
Yield Curves

scholarly journals Interest-Rate Modeling with Multiple Yield Curves

2010 ◽  
Author(s):  
Andrea Pallavicini ◽  
Marco Tarenghi
Keyword(s):  
Interest Rate ◽  
Yield Curves

Estimating Corporate Yield Curves

2001 ◽  
Vol 11 (2) ◽  
pp. 95-103 ◽  
Author(s):  
Antonio Díaz ◽  
Frank S. Skinner
Keyword(s):  
Yield Curves

Bootstrapping Yield Curves

2017 ◽  
pp. 161-181
Keyword(s):  
Yield Curves

scholarly journals DRIVERS OF ILLIQUIDITY IN THE ASEAN SOVEREIGN BOND MARKET

2020 ◽  
Vol 23 (4) ◽  
pp. 501-524
Author(s):  
Harald Kinateder ◽  
Robert Bauer ◽  
Niklas Wagner
Keyword(s):  
Growth Rate ◽  
Bond Market ◽  
Gdp Growth ◽  
Bond Markets ◽  
Policy Uncertainty ◽  
Yield Curves ◽  
Economic Policy Uncertainty ◽  
Sovereign Bond ◽  
Gdp Growth Rate ◽  
Sovereign Bond Markets

We study illiquidity in ASEAN-5 sovereign bond markets from 2008 to 2019 by using an illiquidity measure, which is based on a proxy of the amount of arbitrage capital available in sovereign bond markets. Our analysis identifies three drivers of illiquidity in Singapore, namely economic policy uncertainty, the default spread and the GDP growth rate. In contrast, liquidity of all other markets is mostly not characterized by economic drivers. It appears that overall liquidity is lower in the markets outside Singapore and therefore deviations in these yield curves are higher on average and arbitrage eliminates larger deviations not immediately but in a delayed manner.

Sign in / Sign up

Export Citation Format

Share Document