#### Filter Results:

- Full text PDF available (8)

#### Publication Year

1998

2009

- This year (0)
- Last 5 years (0)
- Last 10 years (2)

#### Publication Type

#### Co-author

#### Journals and Conferences

Learn More

- Taylor Rules, Andrew Ang, Sen Dong, Monika Piazzesi, Ruslan Bikbov, SÃ©bastien Blais
- 2005

We estimate Taylor (1993) rules and identify monetary policy shocks using no-arbitrage pricing techniques. Long-term interest rates are risk-adjusted expected values of future short rates and thus provide strong over-identifying restrictions about the policy rule used by the Federal Reserve. The no-arbitrage framework also accommodates backward-looking andâ€¦ (More)

No-arbitrage macro-finance models use variance decompositions to gauge the extent of association between the macro variables and yields. We show that results generated by this approach are sensitive to the order of variables in the recursive identification scheme. In a four-factor model, one may obtain 18 different sets of answers out of 24 possible. Weâ€¦ (More)

This paper proposes to investigate whether US monetary policy changed over time by evaluating evidence from the entire yield curve. A regime-switching no-arbitrage term structure model relies on inflation, output and the short interest rate as factors. In a departure from the finance literature, the model is complemented with identifying assumptions thatâ€¦ (More)

- Ruslan Bikbov, Mikhail Chernov
- Management Science
- 2009

Statistical and probabilistic characteristics of locally free group with growing number of generators are defined and their application to statistics of braid groups is given.

Statistical and probabilistic characteristics of locally free group with growing number of generators are defined and their application to statistics of braid groups is given.

- Ruslan Bikbov, Sergei K Nechaev
- Physical review letters
- 2001

A symbolic language allowing one to solve statistical problems for the systems with non-Abelian braidlike topology in 2 + 1 dimensions is developed. The approach is based on the similarity between a growing braid and a "heap of colored pieces." As an application, the problem of a vortex glass transition in high-Tc superconductors is reexamined on aâ€¦ (More)

We estimate from above the set of knots, â„¦(n, Âµ), generated by closure of nâ€“string 1+1â€“ and 2 + 1â€“dimensional braids of irreducible length Âµ (Âµ â‰« 1) in the limit n â‰« 1.

- Kodjo M. Apedjinou, Ruslan Bikbov, +9 authors Vikrant Vig
- 2003

Existing models of the term structure of interest rate swap yields assume a unique regime for the data generating process and ascribe variations in swap-Treasury yield spread to default risk or to liquidity premium. However, the interest rate swap market has been marked by economic events and institutional changes that might have significant effects on theâ€¦ (More)

We estimate affine models using the Eurodollar futures and options data. The rationale for this exercise comes from a combination of recent theoretical and empirical work, which documents a trade-off in models abilities to match the expectations hypothesis and generate conditional volatility, and suggests to break this tight connection by explicitlyâ€¦ (More)

- â€¹
- 1
- â€º