IDEAS home Printed from https://ideas.repec.org/a/taf/quantf/v25y2025i6p851-855.html
   My bibliography  Save this article

Fit for purpose

Author

Listed:
  • Jessica James
  • Michael Leister
  • Christoph Rieger

Abstract

Motivated by the fact that current model derived estimates of term premia seem unintuitive and inconsistent with the current environment, we review the available models and discover that even the most sophisticated estimates can be replicated by a simple linear combination of a few liquid interest rates for the USD and EUR markets. Assuming that short term changes in risk perception are well represented by this type of model, we find that survey based term premia estimates are very well fitted with similar techniques. It thus becomes possible to use survey-based data, which is an excellent measure of term premia but too infrequent to be of general utility, to produce daily data with this method. These survey based models give robust and intuitive results which can be updated as needed.

Suggested Citation

  • Jessica James & Michael Leister & Christoph Rieger, 2025. "Fit for purpose," Quantitative Finance, Taylor & Francis Journals, vol. 25(6), pages 851-855, June.
    • Handle: RePEc:taf:quantf:v:25:y:2025:i:6:p:851-855
    DOI: 10.1080/14697688.2025.2505584
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/14697688.2025.2505584
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/14697688.2025.2505584?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    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:quantf:v:25:y:2025:i:6:p:851-855. See general information about how to correct material in RePEc.

    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 bibliographic 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RQUF20 .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.