Three Alternative Term Structure Of Interest Rates Models For Testing Term Point Estimation Hypothesis
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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.
Modeling the Term Structure of Interest Rates Under Nonseparable Utility and Durability of Goods
Author | : Kenneth B. Dunn |
Publisher | : |
Total Pages | : 64 |
Release | : 1984 |
Genre | : Consumption (Economics) |
ISBN | : |
Empirical Analysis of the EU Term Structure of Interest Rates
Author | : Zurab Kotchlamazashvili |
Publisher | : Logos Verlag Berlin GmbH |
Total Pages | : 210 |
Release | : 2014 |
Genre | : Business & Economics |
ISBN | : 3832538739 |
The information about the properties and dynamics of term structure and its modeling hold tremendous interest for financial practitioners and policymakers alike. Accurate forecasting of the term structure of interest rates also plays a very important role for many reasons, particularly for bond portfolio and risk management, hedging derivatives, monetary and debt policy. The present dissertation contains the empirical research for the EU term structure of interest rates. The data analyzed here cover a time series based on the Euro and currencies of other six EU countries. The goal is to examine empirical properties and analyze in-sample and out-of-sample results for corresponding spot rates using 15 competitor GARCH(1,1) models with different distributional assumptions. Alltogether, the work summarizes 1680 x GARCH(1,1) in-sample and over 60000 x GARCH(1,1) out-of-sample estimation results. Moreover, the dissertation consists of 48 figures and 98 tables.
Term Structure of Interest Rates
Author | : Burton Gordon Malkiel |
Publisher | : Princeton University Press |
Total Pages | : 294 |
Release | : 2015-12-08 |
Genre | : Business & Economics |
ISBN | : 1400879787 |
Can expectations alone explain the yield differentials among bonds of different maturities? To what extend do attitudes toward risk and transactions costs influence the behavior of bond investors? Is it possible for the Federal Reserve to "twist" the interest-rate structure in accordance with its policy objectives? These are among the questions treated. Originally published in 1966. The Princeton Legacy Library uses the latest print-on-demand technology to again make available previously out-of-print books from the distinguished backlist of Princeton University Press. These editions preserve the original texts of these important books while presenting them in durable paperback and hardcover editions. The goal of the Princeton Legacy Library is to vastly increase access to the rich scholarly heritage found in the thousands of books published by Princeton University Press since its founding in 1905.
The Term Structure of Interest Rates
Author | : David Meiselman |
Publisher | : |
Total Pages | : 96 |
Release | : 1962 |
Genre | : Business & Economics |
ISBN | : |
Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift
Author | : Markku Lanne |
Publisher | : |
Total Pages | : 19 |
Release | : 2009 |
Genre | : |
ISBN | : |
The expectations hypothesis of the term structure of interest rates is tested using monthly Eurodollar deposit rates for maturities 1, 3 and 6 months covering the period 1983:1-1996:6. Whereas classical regression-based tests indicate rejection, tests based on a new model allowing for potential - but unrealized - regime shifts provide support for the expectations hypothesis. The peso problem is modelled by means of a threshold autoregression. The estimation results suggest that potential regime shift had an effect on expectations concerning the longer-term interest rate only for a short while in the early phase of the sample period, when interest rates were at their highest.
The Term Structure of Interest Rates
Author | : R. S. Masera |
Publisher | : |
Total Pages | : 232 |
Release | : 1972 |
Genre | : Business & Economics |
ISBN | : |
Alternative Tests of Rational Expectations Models
Author | : Robert J. Shiller |
Publisher | : |
Total Pages | : 38 |
Release | : 1980 |
Genre | : Economic forecasting |
ISBN | : |
A linearized version of the rational expectations models of the term structure is put forth in terms of a complete vector of equally spaced observations along the yield curve. A data series on intermediate maturity yields which meets the specifications of the model is presented. The model is tested against a specific and easily interpreted alternative. Earlier studies of rational expectations models, which used "volatility tests" or "likelihood ratio tests," are discussed.