IDEAS home Printed from https://ideas.repec.org/a/taf/apmtfi/v11y2004i2p147-164.html
   My bibliography  Save this article

Comparison of the performance of a time-dependent short-interest rate model with time-independent models

Author

Listed:
  • Joanna Goard
  • Noel Hansen

Abstract

The coefficients in the stochastic differential equation that the short interest rate follows are of vital importance in the subsequent modelling of bond prices and other interest rate products. Empirical tests have previously been performed by various authors who compare a variety of popular short-rate models. Most recently, Ahn and Gao compared their model with affine-drift models and showed that their model with a non-linear drift function outperforms the others. This paper compares the model developed by Goard, which is a time-dependent generalization of the Ahn-Gao model, with the Ahn-Gao model itself. It is found that the time-dependent model using a second-order Fourier series in time, outperforms the Ahn-Gao model for all data sets considered.

Suggested Citation

  • Joanna Goard & Noel Hansen, 2004. "Comparison of the performance of a time-dependent short-interest rate model with time-independent models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 11(2), pages 147-164.
  • Handle: RePEc:taf:apmtfi:v:11:y:2004:i:2:p:147-164
    DOI: 10.1080/13504860410001686034
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/13504860410001686034
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    short-rate; interest rate models;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apmtfi:v:11:y:2004:i:2:p:147-164. 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: (Chris Longhurst). General contact details of provider: http://www.tandfonline.com/RAMF20 .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.