Anne Lundgaard Hansen forsvarer sin ph.d.-afhandling

Anne Lundgaard Hansen forsvarer sin ph.d.-afhandling :"Yield Curve Dynamics: Persistence, Volatility, and the Real Economy"

Kandidat

Anne Lundgaard Hansen

Tid og sted

22. juni  2020 kl. 10:00. Link til at logge på overværelse af forsvaret følger her: https://ucph-ku.zoom.us/j/9536476672

Bedømmelsesudvalg

• Lektor Rasmus Søndergaard Pedersen, Økonomisk Institut, Københavns Universitet, Danmark (formand)
• Prof. Frederique Bec, Professeur des Universités Cergy-Pontoise, Frankrig
• Prof. Giuseppe Cavalière, Universitet Bologna, Italien

Abstract:

This thesis addresses key challenges for modeling and interpreting yield curve dynamics. Through three self-contained chapters, I present new methodologies and empirical insights related to the time-series properties of bond yields and risk factors in bond markets.

In Chapter 1 (“Modeling Persistent Interest Rates with Volatility-Induced Stationarity”), I develop a model with volatility-induced stationarity that can capture the persistence in interest rates. Chapter 2 (“Yield Curve Volatility and Macroeconomic Risk”) demonstrates the importance of accounting for time-varying volatility when attributing variation in the yield curve to macroeconomic shocks. Finally, I present in Chapter 3 (“A Joint Model for the Term Structures of Interest Rates and Realized Volatility”) a joint framework for modeling the yield curve and the realized yield covariance matrix.

Det vil være muligt før forsvaret at rekvirere en kopi af afhandlingen ved henvendelse til Charlotte.Jespersen@econ.ku.dk