Download or read book Indirect Robust Estimation of the Short Term Interest Rate Process written by Veronika Czellar and published by . This book was released on 2013 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: We introduce Indirect Robust Generalized Method of Moments (IRGMM), a new simulation-based 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 new approach to various monthly and weekly Eurocurrency interest rate series.
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 Indirect Robust Estimation of the Short term Interest Rate Process written by Veronika Czellar and published by . This book was released on 2005 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Estimating One factor Models of Short term Interest Rates written by Desmond John Mc Manus and published by . This book was released on 1999 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: Considers a wide range of several continuous-time one-factor models for short-term interest rates that are nested into one general model.
Download or read book Modelling and Forecasting Short Term Interest Rate Volatility written by Ai Jun Hou and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper employs a semiparametric procedure to estimate the diffusion process of short-term interest rates. The Monte Carlo study shows that the semiparametric approach produces more accurate volatility estimates than models that accommodate asymmetry, level effect and serial dependence in the conditional variance. Moreover, the semiparametric approach yields robust volatility estimates even if the short rate drift function and the underlying innovation distribution are misspecified. Empirical investigation with the U.S. three-month Treasury bill rates suggests that the semiparametric procedure produces superior in-sample and out-of-sample forecast of short rate changes volatility compared with the widely used single-factor diffusion models. This forecast improvement has implications for pricing interest rate derivatives.
Download or read book Diffusion Estimation and Structural Stability Tests of Short Term Interest Rate Models written by Sumihiro Takeda and published by . This book was released on 2005 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a simple method for estimating the diffusion function of continuous-time diffusion processes without specifying the drift function structure. This estimation method is suitable for practitioners choosing an interest rate derivative pricing model among the short-term rate type. We estimate the diffusion function parameters by using one-month Euro rates; US Dollar, German Mark, and Japanese Yen. We conduct structural stability tests of the diffusion function parameters and find a statistically significant structural change in the German Mark process. We, however, do not detect structural changes in the US Dollar and the Japanese Yen processes during the same period.
Download or read book Finance India written by and published by . This book was released on 2008 with total page 816 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book The Monetary Transmission Process written by D. Bundesbank and published by Springer. This book was released on 2001-01-29 with total page 329 pages. Available in PDF, EPUB and Kindle. Book excerpt: The start of the European monetary union gave additional impetus to the lively debate on the effects of monetary policy and the appropriate strategy for central banks. This book collects papers and comments by leading academics and central bankers such as O.Issing, M.King, B.McCallum, A.Meltzer, L.Svensson and H.Tietmeyer. The volume examines methodological questions, the actual role played by the financial sectors and labour markets in implementing monetary policy in Europe, and the likely future developments in these areas.
Download or read book Building and Using Dynamic Interest Rate Models written by Ken O. Kortanek and published by John Wiley & Sons. This book was released on 2001-11-28 with total page 248 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a new approach to interest rate and modeling term structure by using models based on optimization of dynamical systems, rather than the traditional stochastic differential equation models. The authors use dynamic models to estimate the term structure of interest rates and show the reader how to build their own numerical simulations. It includes software that will enable readers to simulate the various models covered in the book.
Download or read book Value and Capital Management written by Thomas C. Wilson and published by John Wiley & Sons. This book was released on 2015-08-31 with total page 724 pages. Available in PDF, EPUB and Kindle. Book excerpt: A value management framework designed specifically for banking and insurance The Value Management Handbook is a comprehensive, practical reference written specifically for bank and insurance valuation and value management. Spelling out how the finance and risk functions add value in their respective spheres, this book presents a framework for measuring – and more importantly, influencing – the value of the firm from the position of the CFO and CRO. Case studies illustrating value-enhancing initiatives are designed to help Heads of Strategy offer CEOs concrete ideas toward creating more value, and discussion of "hard" and "soft" skills put CFOs and CROs in a position to better influence strategy and operations. The challenge of financial services valuation is addressed in terms of the roles of risk and capital, and business-specific "value trees" demonstrate the source of successful value enhancement initiatives. While most value management resources fail to adequately address the unique role of risk and capital in banks, insurance, and asset management, this book fills the gap by providing concrete, business-specific information that connects management actions and value creation, helping readers to: Measure value accurately for more productive value-based management initiatives and evaluation of growth opportunities Apply a quantitative, risk-adjusted value management framework reconciled with the way financial services shares are valued by the market Develop a value set specific to the industry to inspire initiatives that increase the firm's value Study the quantitative and qualitative management frameworks that move CFOs and CROs from measurement to management The roles of CFO and CRO in financial firms have changed dramatically over the past decade, requiring business savvy and the ability to challenge the CEO. The Value Management Handbook provides the expert guidance that leads CFOs and CROs toward better information, better insight, and better decisions.
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 2013 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a Gaussian estimator for nonlinear continuous time models of the short term interest rate. The approach is based on a stopping time argument that produces a normalizing transformation facilitating the use of a Gaussian likelihood. A Monte Carlo study shows that the finite sample performance of the proposed procedure offers an improvement over the discrete approximation method proposed by Nowman (1997). An empirical application to U.S. and British interest rates is given.
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 Comparison of the Short Term Interest Rate Models written by Mona Ben Salah and published by . This book was released on 2014 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article attempts to identify the best model of the short term interest rates that can predict its stochastic process over time. We studied nine different models of the short term interest rates. The choice of these models was the aim of analyzing the relevance of certain specifications of the the short term interest rate stochastic process, the effect of mean reversion and the sensitivity of the volatility to the level of interest rate.The yield on US three months treasury bills is used as a proxy for the short term interest rates. The parameters of the different stochastic process are estimated using the generalized method of moments. The results show that the effect of mean reversion is not statistically significant and that volatility is highly sensitive to the level of interest rates. To further study the performance prediction of the intertemporal behavior of the short term interest rate of the various models; we simulated their stochastic process for different periods.The results show that none of the studied models reproduce the actual path of the short term interest rates. The problem lies in the parametric specification of the mean and volatility of the diffusion process To further study the accurate parametric specification of the interest rate stochastic process we use a nonparametric estimation of the drift and the diffusion functions. The results prove that both should be nonlinear.
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 54 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 Handbook of Financial Time Series written by Torben Gustav Andersen and published by Springer Science & Business Media. This book was released on 2009-04-21 with total page 1045 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
Download or read book Indirect Estimation Methods for Continuous Time Models of the Interest Rate written by Peter Fuleky and published by . This book was released on 2009 with total page 164 pages. Available in PDF, EPUB and Kindle. Book excerpt:
