کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5091001 | 1375655 | 2008 | 10 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Modelling the term structure of interest rates: An efficient nonparametric approach
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Modelling the term structure of interest rates: An efficient nonparametric approach Modelling the term structure of interest rates: An efficient nonparametric approach](/preview/png/5091001.png)
چکیده انگلیسی
We propose a new approach for estimating the coefficients of the term structure equation by means of the volatility of the interest rates and the slope of the yield curve. One advantage of this approach consists in the fact that the drift and the market price of risk are jointly estimated and need not be individually specified. We then generate trajectories in a test problem to investigate the finite properties of this approach. Our simulation results show that this new approach outperforms the classic nonparametric models in the literature. Finally, an application to USA Treasury Bill data is also illustrated.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 32, Issue 4, April 2008, Pages 614-623
Journal: Journal of Banking & Finance - Volume 32, Issue 4, April 2008, Pages 614-623
نویسندگان
Lourdes Gómez-Valle, Julia MartÃnez-RodrÃguez,