کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5085229 1477938 2010 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Bayesian extensions to Diebold-Li term structure model
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Bayesian extensions to Diebold-Li term structure model
چکیده انگلیسی
The Bayesian estimation enables the exact distribution of the estimators in finite samples, and as a by-product, the estimation enables obtaining the distribution of forecasts of the term structure of interest rates. Unlike some econometric models of term structure, the methodology developed does not require a pre-interpolation of the yield curve. The model is fitted to the daily data of the term structure of interest rates implicit in SWAP DI-PRÉ contracts traded in the Mercantile and Futures Exchange (BM&F) in Brazil. The results are compared with the other models in terms of fitting and forecasts.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 19, Issue 5, December 2010, Pages 342-350
نویسندگان
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