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Nõudmiseni hoiuse intressimääradele ARIMAX tüüpi mudelite leidmine turumäärade abil
Nõudmiseni hoiuse intressimääradele ARIMAX tüüpi mudelite leidmine turumäärade abil
Töö eesmärk on uurida nõudmiseni hoiusele pakutavate intresside sõltumist 6-kuulisest euriborist ja 6-kuulise euribori swap’i määrast. Selleks uuritakse ARIMAX tüüpi mudelite moodustamist ja kointegratsiooni hoiuse intresside ja turumäärade vahel. Lisaks moodustatakse mudelid naturaallogaritmi ja hüperboolse siinuse pöördfunktsiooni abil transformeeritud aegridadele. Töö on motiveeritud krediidiasutuste vajadusest intressiriski hinnata, kus intressirisk on ettevõtte risk saada kahju intressimäärade muutumisest. Hoiuse intresside prognoosimine turumäärade abil on oluline sisend intressiriski hindamise protsessi.
- University of Tartu Estonia
deposit interests, finantsmatemaatika, financial mathematics, hoiuse intressid, time series analysis, ARIMAX models, aegridade analüüs, ARIMAX tüüpi mudelid
deposit interests, finantsmatemaatika, financial mathematics, hoiuse intressid, time series analysis, ARIMAX models, aegridade analüüs, ARIMAX tüüpi mudelid
citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).0 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).0 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
Popularity provided by BIP!- University of Tartu Estonia
Töö eesmärk on uurida nõudmiseni hoiusele pakutavate intresside sõltumist 6-kuulisest euriborist ja 6-kuulise euribori swap’i määrast. Selleks uuritakse ARIMAX tüüpi mudelite moodustamist ja kointegratsiooni hoiuse intresside ja turumäärade vahel. Lisaks moodustatakse mudelid naturaallogaritmi ja hüperboolse siinuse pöördfunktsiooni abil transformeeritud aegridadele. Töö on motiveeritud krediidiasutuste vajadusest intressiriski hinnata, kus intressirisk on ettevõtte risk saada kahju intressimäärade muutumisest. Hoiuse intresside prognoosimine turumäärade abil on oluline sisend intressiriski hindamise protsessi.