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Details about Leo Krippner

E-mail: This e-mail address is bad, please ask Leo Krippner to update the entry in the RePEc Author Service or the correct address.
Workplace:Department of Economics, Waikato Management School, University of Waikato, (more information at EDIRC)

Access statistics for papers by Leo Krippner.

Last updated 2008-08-04. Update your information in the RePEc Author Service.

Short-id: pkr73


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Working Papers

2008

  1. A Macroeconomic Foundation for the Nelson and Siegel Class of Yield Curve Models
    Research Paper Series, Quantitative Finance Research Centre, University of Technology, Sydney Downloads

2006

  1. A Yield Curve Perspective on Uncovered Interest Parity
    Working Papers in Economics, University of Waikato, Department of Economics Downloads

2005

  1. A New Framework for Yield Curve, Output and Inflation Relationships
    Working Papers in Economics, University of Waikato, Department of Economics Downloads View citations
  2. An Intertemporally-Consistent and Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models
    Working Papers in Economics, University of Waikato, Department of Economics Downloads View citations
  3. Attributing Returns and Optimising United States Swaps Portfolios Using an Intertemporally-Consistent and Arbitrage-Free Model of the Yield Curve
    Working Papers in Economics, University of Waikato, Department of Economics Downloads
  4. Investigating the Relationships between the Yield Curve, Output and Inflation using an Arbitrage-Free Version of the Nelson and Siegel Class of Yield Curve Models
    Working Papers in Economics, University of Waikato, Department of Economics Downloads

2003

  1. Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation
    Working Papers in Economics, University of Waikato, Department of Economics Downloads View citations
  2. Modelling the Yield Curve with Orthonormalised Laguerre Polynomials: A Consistent Cross-Sectional and Inter-Temporal Approach
    Working Papers in Economics, University of Waikato, Department of Economics Downloads View citations

2002

  1. Extracting expectations of New Zealand's Official Cash Rate from the bank-risk yield curve
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand Downloads View citations

1998

  1. Testing the predictive power of New Zealand bank bill futures rates
    Reserve Bank of New Zealand Discussion Paper Series, Reserve Bank of New Zealand Downloads View citations

Journal Articles

2006

  1. A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
    Applied Mathematical Finance, 2006, 13, (1), 39-59 Downloads View citations

2001

  1. Market expectations of the Official Cash Rate
    Reserve Bank of New Zealand Bulletin, 2001, 64 Downloads View citations
 
 
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