Estimation of Term Structure of Interest Rates A Literature Survey
AbstractThis paper provides a comprehensive survey of literature on the estimation of term structure of interest rates. Commonly used models are presented first and then a review of classical papers with regard to the estimation of term structure is provided. The recent work can be classified on the basis of models into three categories: The fundamental models, models based on principal components and the stochastic models. Finally the issues regarding the estimation with respect to India are dealt.
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Bibliographic InfoArticle provided by IUP Publications in its journal The IUP Journal of Monetary Economics.
Volume (Year): II (2004)
Issue (Month): 2 (May)
Pages: 83 - 92
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