Download or read book Estimation and Tests of the Term Structure of Interest Rates written by H. Joe Wells and published by . This book was released on 1981 with total page 134 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Estimation and Testing of Latent Factors in Term Structure of Interest Rates written by Philip Dennis and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On the Estimation of Term Structure Models and An Application to the United States written by International Monetary Fund and published by International Monetary Fund. This book was released on 2010-11-01 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Three Alternative Term Structure of Interest Rates Models for Testing Term Point Estimation Hypothesis written by Yu-jung Liu and published by . This book was released on 1995 with total page 332 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson and published by Now Publishers Inc. This book was released on 2010 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Estimating and Interpreting the Yield Curve written by Nicola Anderson and published by . This book was released on 1996-06-04 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.
Download or read book Testing Term Structure Estimation Methods written by Robert Russell Bliss and published by . This book was released on 1996 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Leigh Conkie written by and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book On Biases in Tests of the Expectations Hypothesis of the Term Structure of Interest Rates written by Geert Bekaert and published by . This book was released on 1996 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Information Content of the Term Structure of Interest Rates written by Frank Browne and published by [Paris, France] : OECD, Department of Economics and Statistics. This book was released on 1989 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Long Memory Models of Interest Rates the Term Structure and Variance Bounds Tests written by Gary S. Shea and published by . This book was released on 1985 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Term Structure of Interest Rates written by David Meiselman and published by . This book was released on 1962 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Estimating Term Structure of Interest Rates written by Fathi Abid and published by . This book was released on 2014 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is twofold; first we concentrate on the work of Vasicek (1977) and Cox, Ingersoll and Ross (1985). We examine and test empirically each model and discuss its performance in predicting the term structure of interest rates using a parametric estimating approach GMM (Generalized Moments Method). Second we estimate the term structure of interest rate dynamics using a nonparametric approach ANN (Artificial Neural Network). Two neural network models are performed. The first model uses spreads between interest rates of 10 different maturities as the only explanatory variable of interest rate changes. The second model introduces two factors, spreads and interest rates' levels. Using historical U.S. Treasury bill rates and Treasury bond yields, we compare the ability of each model to predict the term structure of interest rates. Data are daily and cover the period from 3 January 1995 to 29 December 2000. Results suggest that, neural network; Vasicek (1977) and Cox, Ingersoll and Ross (1985) models generate different yield curves. Neural network models outperform the parametric standard models. The most successful forecast is obtained with two factors neural network model.
Download or read book Testing the Expectations Hypothesis of the Term Structure of Interest Rates in the Presence of a Potential Regime Shift written by Markku Lanne and published by . This book was released on 2009 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book The Efficacy of Term Structure Estimation Technique written by Mark J. Buono and published by . This book was released on 2013 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: The term structure of default-free interest rates is not directly observable in a market where government obligations of various maturities bear coupons at different rates, and where ordinary income and capital gains are subject to unknown and varying effective tax rates. Accurate knowledge of the term structure of spot rates and underlying forward rates is essential for financial research and practice. There are various methods for empirically estimating forward rates and numerous studies that test the accuracy of those methods. Yet, that accuracy cannot be ascertained without knowledge of the true underlying forward rates or the error distribution of those rates. With an unknown error distribution, the statistical estimation of forward rates may be biased. This study offers two innovations designed to improve term structure estimation. First, we use Monte Carlo simulation to generate data with known parameters, which are free of unknown biases. The synthetic data are used to test and compare the accuracy of competing methods in estimating the known forward rates. Second, the knowledge obtained from such tests should enable researchers and practitioners to select the best method for estimating unknown forward rates from empirical data. In contrast, estimation methods are currently selected based on their power to explain variations in bond prices. We provide evidence that the two procedures are poor substitutes. While a variety of estimation methods are good at explaining variations in bond prices, our findings reveal considerable differences among widely known methods in their ability to estimate forward rates.
Download or read book Estimating Parameters of Short Term Real Interest Rate Models written by Mr.Vadim Khramov and published by International Monetary Fund. This book was released on 2013-10-17 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper sheds light on a narrow but crucial question in finance: What should be the parameters of a model of the short-term real interest rate? Although models for the nominal interest rate are well studied and estimated, dynamics of the real interest rate are rarely explored. Simple ad hoc processes for the short-term real interest rate are usually assumed as building blocks for more sophisticated models. In this paper, parameters of the real interest rate model are estimated in the broad class of single-factor interest rate diffusion processes on U.S. monthly data. It is shown that the elasticity of interest rate volatility—the relationship between the volatility of changes in the interest rate and its level—plays a crucial role in explaining real interest rate dynamics. The empirical estimates of the elasticity of the real interest rate volatility are found to be about 0.5, much lower than that of the nominal interest rate. These estimates show that the square root process, as in the Cox-Ingersoll-Ross model, provides a good characterization of the short-term real interest rate process.
Download or read book Duality and Estimation of the Term Structure of Interest Rates written by Eliezer Z. Prisman and published by . This book was released on 1988 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
