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Estimating the long rate and its volatility

Author

Listed:
  • Annaert, Jan
  • Claes, Anouk G.P.
  • De Ceuster, Marc J.K.
  • Zhang, Hairui

Abstract

We estimate the long rate and its volatility within the Svensson framework. The procedure that best extrapolates the longest observable rate and its volatility is a 2-dimensional grid search conditioned on the ridge regression suggested by Annaert et al. (2013).

Suggested Citation

  • Annaert, Jan & Claes, Anouk G.P. & De Ceuster, Marc J.K. & Zhang, Hairui, 2015. "Estimating the long rate and its volatility," Economics Letters, Elsevier, vol. 129(C), pages 100-102.
    • Handle: RePEc:eee:ecolet:v:129:y:2015:i:c:p:100-102
    DOI: 10.1016/j.econlet.2015.02.022
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    References listed on IDEAS

    as
    1. Svensson, Lars E O, 1994. "Estimating and Interpreting Forward Interest Rates: Sweden 1992-4," CEPR Discussion Papers 1051, C.E.P.R. Discussion Papers.
    2. Ashley, Richard, 1998. "A new technique for postsample model selection and validation," Journal of Economic Dynamics and Control, Elsevier, vol. 22(5), pages 647-665, May.
    3. Miles Livingston, 1987. "Flattening Of Bond Yield Curves," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(1), pages 17-24, March.
    4. Svensson, L.E.O., 1994. "Estimating and Interpreting Foreward Interest Rates: Sweden 1992-1994," Papers 579, Stockholm - International Economic Studies.
    5. Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
    6. Andrew Patton & Dimitris Politis & Halbert White, 2009. "Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White," Econometric Reviews, Taylor & Francis Journals, vol. 28(4), pages 372-375.
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    Cited by:

    1. Antonio Díaz & Marta Tolentino, 2020. "Risk Management for Bonds with Embedded Options," Mathematics, MDPI, vol. 8(5), pages 1-12, May.
    2. Ainara Rodríguez-Sánchez & Hairui Zhang & Marc J. K. De Ceuster & Jan Annaert, 2026. "Estimating ultra long-term interest rates with raise regression," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 50(1), pages 1-23, December.

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    More about this item

    Keywords

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    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

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