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Estimation of Term Structure of Interest Rates A Literature Survey

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  • A Suryanarayana
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    Abstract

    This 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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    Article 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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    Handle: RePEc:icf:icfjmo:v:02:y:2004:i:2:p:83-92

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