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A comparative evaluation of alternative models of the term structure of interest rates

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  • Boero, G.
  • Torricelli, C.

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Bibliographic Info

Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 93 (1996)
Issue (Month): 1 (August)
Pages: 205-223

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Handle: RePEc:eee:ejores:v:93:y:1996:i:1:p:205-223

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Web page: http://www.elsevier.com/locate/eor

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References

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  1. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
  2. Pearson, Neil D & Sun, Tong-Sheng, 1994. " Exploiting the Conditional Density in Estimating the Term Structure: An Application to the Cox, Ingersoll, and Ross Model," Journal of Finance, American Finance Association, vol. 49(4), pages 1279-1304, September.
  3. Brennan, Michael J. & Schwartz, Eduardo S., 1979. "A continuous time approach to the pricing of bonds," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 133-155, July.
  4. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  5. Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290.
  6. Ho, Thomas S Y & Lee, Sang-bin, 1986. " Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-29, December.
  7. Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
  8. Brown, Roger H. & Schaefer, Stephen M., 1994. "The term structure of real interest rates and the Cox, Ingersoll, and Ross model," Journal of Financial Economics, Elsevier, vol. 35(1), pages 3-42, February.
  9. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
  10. Newey, Whitney K & West, Kenneth D, 1987. "Hypothesis Testing with Efficient Method of Moments Estimation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 777-87, October.
  11. James M. Hutchinson & Andrew W. Lo & Tomaso Poggio, 1994. "A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks," NBER Working Papers 4718, National Bureau of Economic Research, Inc.
  12. Longstaff, Francis A., 1989. "A nonlinear general equilibrium model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 23(2), pages 195-224, August.
  13. Brennan, Michael J. & Schwartz, Eduardo S., 1977. "Savings bonds, retractable bonds and callable bonds," Journal of Financial Economics, Elsevier, vol. 5(1), pages 67-88, August.
  14. Bliss, Robert R, Jr & Ronn, Ehud I, 1989. " Arbitrage-Based Estimation of Nonstationary Shifts in the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 44(3), pages 591-610, July.
  15. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1981. "A Re-examination of Traditional Hypotheses about the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 36(4), pages 769-99, September.
  16. Schaefer, Stephen M. & Schwartz, Eduardo S., 1984. "A Two-Factor Model of the Term Structure: An Approximate Analytical Solution," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(04), pages 413-424, December.
  17. Robert C. Merton, 1973. "Theory of Rational Option Pricing," Bell Journal of Economics, The RAND Corporation, vol. 4(1), pages 141-183, Spring.
  18. Nelson, Daniel B., 1990. "ARCH models as diffusion approximations," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 7-38.
  19. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
  20. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
  21. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  22. de Munnik, Jeroen F. J. & Schotman, Peter C., 1994. "Cross-sectional versus time series estimation of term structure models: empirical results for the Dutch bond market," Journal of Banking & Finance, Elsevier, vol. 18(5), pages 997-1025, October.
  23. Michael J. Brennan and Eduardo S. Schwartz., 1979. "A Continuous-Time Approach to the Pricing of Bonds," Research Program in Finance Working Papers 85, University of California at Berkeley.
  24. Hull, John & White, Alan, 1990. "Pricing Interest-Rate-Derivative Securities," Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 573-92.
  25. Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
  26. Sun, Tong-sheng, 1992. "Real and Nominal Interest Rates: A Discrete-Time Model and Its Continuous-Time Limit," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 581-611.
  27. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
  28. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
  29. Gibbons, Michael R & Ramaswamy, Krishna, 1993. "A Test of the Cox, Ingersoll, and Ross Model of the Term Structure," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 619-58.
  30. Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-27, July.
  31. Dothan, L. Uri, 1978. "On the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 6(1), pages 59-69, March.
  32. Brennan, Michael J. & Schwartz, Eduardo S., 1982. "An Equilibrium Model of Bond Pricing and a Test of Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(03), pages 301-329, September.
  33. Brennan, Michael J & Schwartz, Eduardo S, 1980. " Conditional Predictions of Bond Prices and Returns," Journal of Finance, American Finance Association, vol. 35(2), pages 405-17, May.
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Citations

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Cited by:
  1. Ho, Hsiao-Wei & Huang, Henry H. & Yildirim, Yildiray, 2014. "Affine model of inflation-indexed derivatives and inflation risk premium," European Journal of Operational Research, Elsevier, vol. 235(1), pages 159-169.
  2. Luisa Malaguti & Costanza Torricelli, 2001. "The rational expectation dynamics of a model for the term structure and monetary policy," Decisions in Economics and Finance, Springer, vol. 24(2), pages 137-152, November.
  3. Gianna Boero & Costanza Torricelli, 2002. "The information in the term structure of German interest rates," The European Journal of Finance, Taylor & Francis Journals, vol. 8(1), pages 21-45.
  4. G. Boero & C. Torricelli, 1999. "The Information in the Term of Structure: further Results for Germany," Working Paper CRENoS 199912, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.

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