The structure of spot rates and immunization: Some further results
This paper estimates and tests a two-factor model of the term structure of interest rates based on the methodology developed by Elton, Gruber and Michaelly (1990) in an APT context. The model is then enlarged to allow its use for interest rate risk measurement through a duration vector. The results of the model using in-sample data are consistent with those obtained by Principal Components Analysis to explain the term structure behaviour. Finally, the model is tested using out-of-sample data, showing its superiority over a competing model based on the traditional Macaulay's duration.
Volume (Year): 3 (2001)
Issue (Month): 4 ()
|Contact details of provider:|| Web page: http://www.springer.com|
Postal:Universidad del País Vasco; DFAE II; Avenida Lehendakari Aguirre, 83; 48015 Bilbao; Spain
Phone: +34 94 6013783
Fax: + 34 94 6013774
Web page: http://spaneconrev.org/
More information through EDIRC
|Order Information:||Web: http://www.springer.com/economics/journal/10108?detailsPage=societies|
When requesting a correction, please mention this item's handle: RePEc:spr:specre:v:3:y:2001:i:4:p:273-294. 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: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.