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Measuring the Interest‑Rate Risk.
Reply to the Comments on “Measuring the Interest Rate Risk”
Reply to the Comments Measuring the Interest Rate Risk
2015/7/21
Reply to the Comments on “Measuring the Interest Rate Risk”.
Market Interest in Nonfinancial Information
Integrated Corporate Reporting Corporate Governance Markets Corporate Social Responsibility and Impact Environmental Sustainability Social Issues
2015/4/24
Market interest in nonfinancial (e.g., Environmental, Social, and Governance [ESG]) information, including data produced by the Carbon Disclosure Project (CDP), is growing. Using data from Bloomberg w...
Sarbanes-Oxley and the Accounting Profession: Public Interest Implications
Accounting Profession Sarbanes-Oxley Public Interest
2013/2/23
The USaccounting profession was caught up in, and some say responsible for, the whirlwind of accounting and business scandals that rocked the US markets in 2002. To restore investor confidence in fina...
Social Responsibilities and Evaluation Indicators of Listed Companies in the Perspective of Interest Groups
Listed Companies Social Responsibility Interest Group Evaluation Indicator
2013/2/20
With advocating scientific outlook on development and building a harmonious society, China has paid more and more attention to corporate social responsibilities, which mean that companies should fulfi...
Interest-Rate Modeling with Multiple Yield Curves
Yield Curve Bootstrap Yield Curve Interpolation Discounting Curve
2010/10/20
The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A single yield curve ...
Modeling the dynamics of Chinese spot interest rates
Spot rate models Term structure of interest rates Market segmentation Nonparametric specification tests
2011/4/2
Using the daily data of Chinese 7-day repo rates from January 1, 1997 to December 31, 2008, this paper tests a variety of popular spot rate models, including single-factor diffusion, GARCH, Markov reg...
A Heat Kernel Approach to Interest Rate Models
Interest rate models Markov-functional state price density heat
2010/11/2
We construct default-free interest rate models in the spirit of the well-known Markov funcional models: our focus is analytic tractability of the models and generality of the approach. We work in the ...
Quantitative law describing market dynamics before and after interest-rate change
Quantitative law interest-rate change
2010/10/29
We study the behavior of U.S. markets both before and after U.S. Federal OpenMarket Committee
(FOMC) meetings, and show that the announcement of a U.S. Federal Reserve rate change causes
a financial...