Essays On The Theory And Estimation Of Term Structure Models
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On the Estimation of Term Structure Models and An Application to the United States
Author | : International Monetary Fund |
Publisher | : International Monetary Fund |
Total Pages | : 64 |
Release | : 2010-11-01 |
Genre | : Business & Economics |
ISBN | : 1455209589 |
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.
Essays on Affine Term Structure Models
Author | : Bovorn Vichiansin |
Publisher | : |
Total Pages | : 116 |
Release | : 2006 |
Genre | : Interest rates |
ISBN | : |
An Assessment of Estimates of Term Structure Models for the United States
Author | : Ying He |
Publisher | : International Monetary Fund |
Total Pages | : 33 |
Release | : 2011-10-01 |
Genre | : Business & Economics |
ISBN | : 1463923260 |
The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of term structure models, namely the Nelson-Siegel and Cox, Ingersoll and Ross family of models, and the estimation techniques. It then presents estimations of some of specific models within these families of models?three-factor Nelson-Siegel Model, four-factor Svensson model, and preference-free, two-factor Cox, Ingersoll and Roll model?for the United States from 1972 to mid 2011. It subsequently provides an assessment of the estimations. It concludes that these estimations of the term structure models successfully capture the dynamics of the term structure in the United States.
Modeling the Term Structure of Interest Rates
Author | : Rajna Gibson |
Publisher | : Now Publishers Inc |
Total Pages | : 171 |
Release | : 2010 |
Genre | : Business & Economics |
ISBN | : 1601983727 |
Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Affine Term Structure Models: Theory, Characterization, and Estimation
Author | : Anders Brandt Wulff-Andersen |
Publisher | : |
Total Pages | : 100 |
Release | : 2000 |
Genre | : |
ISBN | : |
Essays in Honour of Fabio Canova
Author | : Juan J. Dolado |
Publisher | : Emerald Group Publishing |
Total Pages | : 188 |
Release | : 2022-09-21 |
Genre | : Business & Economics |
ISBN | : 1803828331 |
Both parts of Volume 44 of Advances in Econometrics pay tribute to Fabio Canova for his major contributions to economics over the last four decades.