Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5085229 | International Review of Financial Analysis | 2010 | 9 Pages |
Abstract
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-PRÃ 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.
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Authors
Márcio Poletti Laurini, Luiz Koodi Hotta,