Advanced Search
MyIDEAS: Login to save this paper or follow this series

A Simple Model of the Nominal Term Structure of Interest Rates

Contents:

Author Info

  • Yougsoo Choi

    (Department of Mathematics, Hankuk University of Foreign Studies, Korea)

  • Tony S. Wirjanto

    (Department of Economics, University of Waterloo)

Abstract

This paper presents a simple two-factor model of nominal term structure of interest rates, in which the log-price kernel has an autoregressive drift process and a nonlinear GARCH volatility process. With these two state-variable processes, closed-form solutions are derived for zero-coupon bond prices as well as yield to maturity for a given time to maturity.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://economics.uwaterloo.ca/documents/TW-tsirm-1_000.pdf
Download Restriction: no

Bibliographic Info

Paper provided by University of Waterloo, Department of Economics in its series Working Papers with number 08011.

as in new window
Length:
Date of creation: Dec 2008
Date of revision:
Handle: RePEc:wat:wpaper:08011

Contact details of provider:
Postal: Waterloo, Ontario, N2L 3G1
Phone: (519) 888-4567 ext 33695
Fax: (519) 725-0530
Web page: http://economics.uwaterloo.ca/
More information through EDIRC

Related research

Keywords:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
  2. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-70, March.
  3. Dong-Hyun Ahn & Robert F. Dittmar, 2002. "Quadratic Term Structure Models: Theory and Evidence," Review of Financial Studies, Society for Financial Studies, vol. 15(1), pages 243-288, March.
  4. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
  5. Grossman, S J & Melino, Angelo & Shiller, Robert J, 1987. "Estimating the Continuous-Time Consumption-Based Asset-Pricing Model," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(3), pages 315-27, July.
  6. Choi, Youngsoo & Wirjanto, Tony S., 2007. "An analytic approximation formula for pricing zero-coupon bonds," Finance Research Letters, Elsevier, vol. 4(2), pages 116-126, June.
  7. Longstaff, Francis A, 1990. " Time Varying Term Premia and Traditional Hypotheses about the Term Structure," Journal of Finance, American Finance Association, vol. 45(4), pages 1307-14, September.
  8. 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.
  9. Constantinides, George M, 1992. "A Theory of the Nominal Term Structure of Interest Rates," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 531-52.
  10. Longstaff, Francis A., 1993. "The valuation of options on coupon bonds," Journal of Banking & Finance, Elsevier, vol. 17(1), pages 27-42, February.
  11. 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.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:wat:wpaper:08011. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Pat Gruber).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.