A model to estimate the US term structure of interest rates
AbstractThe US term structure of interest rates plays a central role in fixed-income analysis. For example,estimating accurately the US term structure is a crucial step for those interested in analyzing BrazilianBrady bonds such as IDUs, DCBs, FLIRBs, EIs, etc. In this work we present a statistical model to estimatethe US term structure of interest rates. We address in this report all major issues which drove us in theprocess of implementing the model developed, concentrating on important practical issues such ascomputational efficiency, robustness of the final implementation, the statistical properties of the finalmodel, etc. Numerical examples are provided in order to illustrate the use of the model on a daily basis.
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Bibliographic InfoPaper provided by FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil) in its series Economics Working Papers (Ensaios Economicos da EPGE) with number 273.
Date of creation: Oct 1995
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- Gyorgy Varga, 2009.
"Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil,"
Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil),
FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 63(4), pages 227-260, December.
- Varga, Gyorgy, 2009.
"Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil
[Test of Term Structure Models for Brazil]," MPRA Paper, University Library of Munich, Germany 20832, University Library of Munich, Germany.
- Varga, Gyorgy, 2009. "Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil
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