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 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 Discrete time Continuous state Interest Rate Models written by Michael A. Sullivan and published by . This book was released on 2000 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Interest Rate Models an Infinite Dimensional Stochastic Analysis Perspective written by René Carmona and published by Springer. This book was released on 2010-11-22 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory. From the reviews: "A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM

Download or read book Discrete Time Continuous State Interest Rate Models written by and published by DIANE Publishing. This book was released on with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance written by Peter C. B. Phillips and published by . This book was released on 2013 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper overviews maximum likelihood and Gaussian methods of estimating continuous time models used in finance. Since the exact likelihood can be constructed only in special cases, much attention has been devoted to the development of methods designed to approximate the likelihood. These approaches range from crude Euler-type approximations and higher order stochastic Taylor series expansions to more complex polynomial-based expansions and infill approximations to the likelihood based on a continuous time data record. The methods are discussed, their properties are outlined and their relative finite sample performance compared in a simulation experiment with the nonlinear CIR diffusion model, which is popular in empirical finance. Bias correction methods are also considered and particular attention is given to jackknife and indirect inference estimators. The latter retains the good asymptotic properties of ML estimation while removing finite sample bias. This method demonstrates superior performance in finite samples.

Download or read book Gaussian Estimation and Forecasting of the UK Yield Curve with Multi Factor Continuous Time Models written by Diana Tunaru and published by . This book was released on 2016 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we estimate the term structure of daily UK interest rates using more flexible continuous time models. The multivariate CKLS framework is employed for dynamic estimation and forecasting of four classical models over the eventful period of 2000-2013. The extensions are applied in two stages to four and five factor formulations, allowing us to assess the potential benefit of gradually increasing the model-flexibility. The Gaussian estimation methods for dynamic continuous time models yield insightful comparative results concerning the two different segments of the yield curve, short-term and long-term, respectively. In terms of in-sample performance the multi-factor general CKLS model is superior to all the other restricted models. When compared to benchmark discrete time models, the out-of-sample performance of the extended continuous time models seem to be consistently superior with regards only to the short-term segment of the yield curve.

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 Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models written by Matt Pritsker and published by . This book was released on 1997 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Modelling the Term Structure of Interest Rates a La Heath Jarrow Morton But with Non Gaussian Fluctuations written by Przemyslaw Repetowicz and published by . This book was released on 2009 with total page 18 pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider a generalization of the Heath-Jarrow-Morton model for the term structure of interest rates where the forward rate is driven by Paretian fluctuations. We derive a generalization of Ito's lemma for the calculation of a differential of a Paretian stochastic variable and use it to derive a Stochastic Differential Equation for the discounted bond price.We show that it is not possible to choose the parameters of the model to ensure absence of drift of the discounted bond price. Then we consider a Continuous Time Random Walk with jumps driven by Paretian random variables and we derive the large time scaling limit of the jump probability distribution function (pdf). We show that under certain conditions defined in text the large time scaling limit of the jump pdf in the Fourier domain is tilde{ omega}_t(k,t) sim exp{ - mathfrak{K}/( ln(k t))^2 } and is different from the case of a random walk with Gaussian fluctuations.

Download or read book Testing Continuous Time Models of the Term Structure of Interest Rates written by Steven L. Heston and published by . This book was released on 1992 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Gaussian Estimation of a Continuous Time Dynamic Model with Common Stochastic Trends written by Theodore Simos and published by . This book was released on 1995 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Gaussian Estimation of a Continuous Time Dynamic Model with Common Stochastic Trends written by Theo Simos and published by . This book was released on 1995 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Continuous time Model of the Term Structure of Interest Rates with Fiscal monetary Policy Interactions written by Massimiliano Marzo 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 Modeling the Term Structure of Interest Rates written by Francois Lhabitant and published by . This book was released on 2001 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last two decades have seen the development of a profusion of theoretical models of the term structure of interest rates. This study provides a general overview and a comprehensive comparative study of the most popular ones among both academics and practitioners. It also discusses their respective advantages and disadvantages in terms of bond and/or interest rate contingent claims continuous time valuation or hedging, parameter estimation, and calibration. Finally, it proposes a unified approach for model risk assessment. Despite the relatively complex mathematics involved, financial intuition rather then mathematical rigour is emphasised throughout. The classification by means of general characteristics should enable the understanding of the different features of each model, facilitate the choice of a model in specific theoretical or empirical circumstances, and allows the testing of various models with nested as well as non-nested specifications.

Download or read book A Gaussian Affine Term Structure Model of Interest Rates and Credit Spreads written by Zhiping Zhou and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We estimate a no-arbitrage term structure model of U.S. Treasury yields and corporate bond spreads with both economic factors and latent factors as drivers of term structure dynamics. We consider two sets of economic factors: macro factors consisting of inflation and real activity, and financial market factors consisting of funding liquidity and market volatility. We show that financial market factors have limited effects on the Treasury yield curve but substantial impacts on the credit spread term structure. In particular, negative liquidity shocks widen credit spreads, and this effect is more pronounced for short-term corporate bonds. We also find that out-of-sample forecasts for credit spreads improve when financial market factors are incorporated and when no-arbitrage restrictions are imposed. We also propose a minimum-chi-square method for estimating the term structure models of interest rate and credit spreads, which is more efficient and accurate than the widespread maximum-likelihood estimation.

Download or read book Term Structure Modeling and Estimation in a State Space Framework written by Wolfgang Lemke and published by Springer Science & Business Media. This book was released on 2005-12-08 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the University of Bielefeld, Germany. It was accepted as a Ph.D. thesis titled "Term Structure Modeling and Estimation in a State Space Framework" at the Department of Economics of the University of Bielefeld in November 2004. It is a pleasure for me to thank all those people who have been helpful in one way or another during the completion of this work. First of all, I would like to express my gratitude to my advisor Professor Joachim Frohn, not only for his guidance and advice throughout the com pletion of my thesis but also for letting me have four very enjoyable years teaching and researching at the Institute for Statistics and Econometrics. I am also grateful to my second advisor Professor Willi Semmler. The project I worked on in one of his seminars in 1999 can really be seen as a starting point for my research on state space models. I thank Professor Thomas Braun for joining the committee for my oral examination.