Download or read book Gaussian Estimation of Single factor Continuous time Models of the South African Short term Interest Rate written by Peter Aling and published by . This book was released on 2007 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate written by Jun Yu and published by . This book was released on 2001 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Exact Gaussian Estimation of Continuous Time Models of the Term Structure of Interest Rates written by P. C. B. Phillips and published by . This book was released on 2000 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Estimating One factor Models of Short term Interest Rate written by D. Mc Manus and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book One Factor Gaussian Short Rate Model Implementation written by Peter Caspers and published by . This book was released on 2013 with total page 6 pages. Available in PDF, EPUB and Kindle. Book excerpt: We collect some results in Piterbarg, Interest Rate Modelling, needed for the implementation of a GSR model. We develop explicit formulas for piecewise constant volatility and reversion parameters under the forward measure.
Download or read book Comparison of Alternative Models of the Short term Interest Rate written by Xin Bo and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper proposes a procedure for testing the alternative continuous time models of short term riskless interest rates. Parameters estimation and models comparison are presented using the Generalized Method of Moments. An empirical research to LIBOR in US dollar is given and found that the volatility of interest rate changes is to be less sensitive to the interest rate levels in contrast to previous findings. In addition the Brennan-Schwartz model is suggested to be superior to the others in term of data fit under daily observations, and CIR SR model cannot be rejected.
Download or read book Threshold Dynmamics of Short Term Interest Rates written by Theofanis Archontakis and published by . This book was released on 2016 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies a nonlinear one-factor term structure model in discrete time. The single factor is the short-term interest rate, which is modeled as a self-exciting threshold autoregressive (SETAR) process. Our specification allows for shifts in the intercept and the variance. The process is stationary but mimics the nearly I(1) dynamics typically encountered with interest rates. In comparison with a linear model, we find empirical evidence in favor of the threshold model for Germany and the US. Based on the estimated short-rate dynamics we derive the implied arbitrage-free term structure of interest rates. Since analytical solutions are not feasible, bond prices are computed by means of Monte Carlo integration. The resulting term structure exhibits properties that are qualitatively similar to those observed in the data and which cannot be captured by the linear Gaussian one-factor model. In particular, our model captures the nonlinear relation between long rates and the short rate found in the data.
Download or read book Distribution of Short term Interest Rate in One factor Models written by Ah Hin Pooi 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 Bulletin of the Atomic Scientists written by and published by . This book was released on 1961-05 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Bulletin of the Atomic Scientists is the premier public resource on scientific and technological developments that impact global security. Founded by Manhattan Project Scientists, the Bulletin's iconic "Doomsday Clock" stimulates solutions for a safer world.
Download or read book No Arbitrage One factor Models of the South African Term structure of Interest Rates written by P. Ailing and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Comparison of Single Factor Consistent Models written by Lluis Navarro and published by . This book was released on 2019 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Yield-curve models are broadly used by the industry for valuating fixed-income securities. These models reply term-structure of interest rates observed in the market accurately. In this work we make an empirical comparison among the main one-factor models used as management portfolio tools: the Hull-White model, the squared Gaussian model and a restricted version of Black-Karasinski model.
Download or read book Estimation of the Equilibrium Real Exchange Rate for South Africa written by Mr.Luca Antonio Ricci and published by International Monetary Fund. This book was released on 2003-03-01 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Based on the Johansen cointegration estimation methodology, much of the long-run behavior of the real effective exchange rate of South Africa can be explained by real interest rate differentials, GDP per capita (both relative to trading partners), real commodity prices, trade openness, the fiscal balance, and the extent of net foreign assets. On the basis of these fundamentals, the real exchange rate in early 2002 was found to be significantly more depreciated with respect to the estimated equilibrium level. The half-life of the deviation of the real exchange rate from the estimated equilibrium one was found to be somewhat more than two years.
Download or read book Modelling the Short term Interest Rate with Stochastic Differential Equation in Continuous Time written by Lethabo Jane Thaba and published by . This book was released on 2014 with total page 122 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Gaussian Multi factor Interest Rate Models written by Frank Heitmann and published by . This book was released on 1995 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Indirect Robust Estimation of the Short term Interest Rate Process written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose Indirect Robust Generalized Method of Moments (IRGMM), a simulationbased estimation methodology, to model short-term interest rate processes. The primary advantage of IRGMM relative to classical estimators of the continuous-time short-rate diffusion processes is that it corrects both the errors due to discretization and the errors due to model misspecification. We apply this approach to monthly US risk free rates and to various monthly Eurocurrency rates and provide extensive evidence of its predictive performances in a variety of settings.
Download or read book Estimation of Continuous time Interest Rate Models written by Orazio di Miscia and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Testing for Continuous Time Models of the Short Term Interest Rate written by Laurence Broze and published by . This book was released on 1993 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
