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| dc.contributor.advisor | Colonnello, Stefano | it_IT |
| dc.contributor.author | Kan, Chengzhang <1997> | it_IT |
| dc.date.accessioned | 2022-06-26 | it_IT |
| dc.date.accessioned | 2022-10-11T08:27:33Z | |
| dc.date.available | 2022-10-11T08:27:33Z | |
| dc.date.issued | 2022-07-12 | it_IT |
| dc.identifier.uri | http://hdl.handle.net/10579/22033 | |
| dc.description.abstract | This paper shall cover: 1)foundational results of term structure: interest rate, bond, swap, financial products. equity...a review of the literature on term structure models and a review on Bayesian modelling of term structure. 2)recent advances of term structure, especially affine process and term structure of equity. 3)Bayesian estimation of affine term structure model. 4)Bayesian paradigm (pro and con), dealing with the choice of a statistical paradigm and decision theory, the uncertainty problem relating to behaviour and economic facts. | it_IT |
| dc.language.iso | en | it_IT |
| dc.publisher | Università Ca' Foscari Venezia | it_IT |
| dc.rights | © Chengzhang Kan, 2022 | it_IT |
| dc.title | Term structure models and Bayesian estimation | it_IT |
| dc.title.alternative | Exchange rates and Bayesian Paradigm | it_IT |
| dc.type | Master's Degree Thesis | it_IT |
| dc.degree.name | Economia e finanza | it_IT |
| dc.degree.level | Laurea magistrale | it_IT |
| dc.degree.grantor | Dipartimento di Economia | it_IT |
| dc.description.academicyear | 2021/2022_sessione estiva_110722 | it_IT |
| dc.rights.accessrights | openAccess | it_IT |
| dc.thesis.matricno | 888233 | it_IT |
| dc.subject.miur | SECS-P/01 ECONOMIA POLITICA | it_IT |
| dc.description.note | This thesis first reviews the disciplinary origination of exchange rate and advantages of Bayesian methods to study it. Within the Bayesian inference framework, I apply Markov switching model to time series with Gibbs estimation to study the volatility of lagged return and relationship of exchange rates. The recent extreme volatility of RUB, EUR and RMB then drive me step from the stochastic model and further analyse the economic mechanisms accounting for such "unprecedented" phenomenon. I try to enrich this subject through discussion of popular statistical methods within the still-developing Bayesian paradigm via reflecting on the conceptualisation of uncertainty. The logic of Bayesian paradigm combined with requirement of green financing and sustainability lead the discussion towards reflecting facts of macro-finance and the foundation of exchange rates, which bring along insights of global asset pricing and conceptual modelling of a future global currency. | it_IT |
| dc.degree.discipline | it_IT | |
| dc.contributor.co-advisor | it_IT | |
| dc.date.embargoend | it_IT | |
| dc.provenance.upload | Chengzhang Kan (888233@stud.unive.it), 2022-06-26 | it_IT |
| dc.provenance.plagiarycheck | Stefano Colonnello (stefano.colonnello@unive.it), 2022-07-11 | it_IT |
