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Estimación de la curva de tipos cupón-cero con polinomios de Legendre

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    (Departamento de Economía Financiera y Contabilidad. Universidad de La Laguna. Facultad de Ciencias Económicas y Empresariales.)

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    La importancia de una correcta estimación de la estructura temporal de tipos de interés resulta evidente en la medida que se precisan valores fiables de la misma no solo para valorar cualquier activo sino para llevar a cabo otros trabajos de investigación. Muchos han sido los autores que han propuesto, con mayor o menor éxito, diferentes metodologías y modelos de estimación. En este trabajo, se propone el uso de un nuevo modelo que emplea polinomios de Legendre y se obtiene la curva diaria de tipos cupón-cero española para el periodo 1991-1996 con este modelo y otros alternativos. El resultado más notable es que el uso de polinomios de Legendre parece conseguir el deseado equilibrio entre precisión de las estimaciones y suavidad en el tramo a largo de la curva. It is very important to achieve an accuracy estimation of the interest rate term structure. To get reliable interest rate values is a must in order, not just to price any asset but also to carry out other researches. Many different researchers have proposed diverse estimation models with a variable degreeof success. In this paper, it is proposed a new model based on Legendre polynomials and the Spanish term structure of interest rate is analysed daily for the period 1991-1996 by using different models. The more remarkable conclusion is that Legendre polynomials approximation seems to achieve the desired equilibrium between accuracy and smoothness.

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    Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

    Volume (Year): 21 (2003)
    Issue (Month): (Agosto)
    Pages: 363-375

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    Handle: RePEc:lrk:eeaart:21_2_11
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    Beatriz Rodríguez Prado. Facultad de CC.EE. y EE. Avda. Valle del Esgueva. Valladolid 47011 SPAIN

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    1. Shea, Gary S., 1984. "Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(03), pages 253-269, September.
    2. Robert R. Bliss, 1996. "Testing term structure estimation methods," FRB Atlanta Working Paper 96-12, Federal Reserve Bank of Atlanta.
    3. Mark Deacon & Andrew Derry, 1994. "Estimating the Term Structure of Interest Rates," Bank of England working papers 24, Bank of England.
    4. McCulloch, J Huston, 1971. "Measuring the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 44(1), pages 19-31, January.
    5. Mark Fisher & Douglas Nychka & David Zervos, 1995. "Fitting the term structure of interest rates with smoothing splines," Finance and Economics Discussion Series 95-1, Board of Governors of the Federal Reserve System (U.S.).
    6. 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.
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