Some searches may not work properly. We apologize for the inconvenience.
My bibliography Save this paperAn Alternative Strategy for Estimation of a Nonlinear Model of the Term Structure of Interest Rates
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Chan, K C, et al, 1992.
"An Empirical Comparison of Alternative Models of the Short-Term Interest Rate,"
Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
- Tom Doan, "undated". "RATS programs to replicate CKLS(1992) estimation of interest rate models," Statistical Software Components RTZ00035, Boston College Department of Economics.
- Richard, Scott F., 1978. "An arbitrage model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 6(1), pages 33-57, March.
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Fama, Eugene F., 1984. "Term premiums in bond returns," Journal of Financial Economics, Elsevier, vol. 13(4), pages 529-546, December.
- Brennan, Michael J. & Schwartz, Eduardo S., 1982. "An Equilibrium Model of Bond Pricing and a Test of Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(3), pages 301-329, September.
- Sundaresan, Mahadevan, 1984. "Consumption and Equilibrium Interest Rates in Stochastic Production Economies," Journal of Finance, American Finance Association, vol. 39(1), pages 77-92, March.
- David K. Backus & Stanley E. Zin, 1993.
"Long-memory inflation uncertainty: evidence from the term structure of interest rates,"
Proceedings, Federal Reserve Bank of Cleveland, pages 681-708.
- Backus, David K & Zin, Stanley E, 1993. "Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(3), pages 681-700, August.
- David K. Backus & Stanley E. Zin, 1993. "Long-memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," NBER Technical Working Papers 0133, National Bureau of Economic Research, Inc.
- David K. Backus, 1993. "Long-Memory Inflation Uncertainty: Evidence from the Term Structure of Interest Rates," Working Papers 93-04, New York University, Leonard N. Stern School of Business, Department of Economics.
- Davidson, Russell & MacKinnon, James G., 1993. "Estimation and Inference in Econometrics," OUP Catalogue, Oxford University Press, number 9780195060119, Decembrie.
- Brennan, Michael J. & Schwartz, Eduardo S., 1979. "A continuous time approach to the pricing of bonds," Journal of Banking & Finance, Elsevier, vol. 3(2), pages 133-155, July.
- 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.
- Tom Doan, "undated". "RATS program to estimate term structure with cubic splines," Statistical Software Components RTZ00019, Boston College Department of Economics.
- Longstaff, Francis A., 1989. "A nonlinear general equilibrium model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 23(2), pages 195-224, August.
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005.
"A Theory Of The Term Structure Of Interest Rates,"
World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164,
World Scientific Publishing Co. Pte. Ltd..
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "A Theory of the Term Structure of Interest Rates," Econometrica, Econometric Society, vol. 53(2), pages 385-407, March.
- Hull, John & White, Alan, 1990. "Valuing Derivative Securities Using the Explicit Finite Difference Method," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(1), pages 87-100, March.
- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
- Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
- Hull, John C & White, Alan D, 1987. "The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
- Michael J. Brennan and Eduardo S. Schwartz., 1979. "A Continuous-Time Approach to the Pricing of Bonds," Research Program in Finance Working Papers 85, University of California at Berkeley.
- Dothan, L. Uri, 1978. "On the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 6(1), pages 59-69, March.
- Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-384, March.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
- Constantin Mellios, 2001. "Valuation of Interest Rate Options in a Two-Factor Model of the Term Structure of Interest Rate," Working Papers 2001-1, Laboratoire Orléanais de Gestion - université d'Orléans.
- Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742, Decembrie.
- Gibson, Rajna & Lhabitant, Francois-Serge & Talay, Denis, 2010. "Modeling the Term Structure of Interest Rates: A Review of the Literature," Foundations and Trends(R) in Finance, now publishers, vol. 5(1–2), pages 1-156, December.
- Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995.
"Testing for continuous-time models of the short-term interest rate,"
Journal of Empirical Finance, Elsevier, vol. 2(3), pages 199-223, September.
- BROZE, Laurence & SCAILLET, Olivier & ZAKOIAN , Jean-Michel, 1993. "Testing for Continuous-Time Models of the Short-Term Interest Rate," LIDAM Discussion Papers CORE 1993031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Broze, L. & Scaillet, O. & Zakoïan, J.-M., 1995. "Testing for continuous-time models of the short-term interest rate," LIDAM Reprints CORE 1177, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Josheski Dushko & Apostolov Mico, 2021. "Equilibrium Short-Rate Models Vs No-Arbitrage Models: Literature Review and Computational Examples," Econometrics. Advances in Applied Data Analysis, Sciendo, vol. 25(3), pages 42-71, September.
- Vetzal, Kenneth R., 1997. "Stochastic volatility, movements in short term interest rates, and bond option values," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 169-196, February.
- Franco Parisi, 1998. "Tasas de Interés Nominal de Corto Plazo en Chile: Una Comparación Empírica de sus Modelos," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(105), pages 161-182.
- Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
- Boero, G. & Torricelli, C., 1996. "A comparative evaluation of alternative models of the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 93(1), pages 205-223, August.
- Hatem Ben-Ameur & Michèle Breton, 2004. "A Dynamic Programming Approach for Pricing Options Embedded in Bonds," Computing in Economics and Finance 2004 237, Society for Computational Economics.
- Carl Chiarella & Xue-Zhong He & Christina Sklibosios Nikitopoulos, 2015. "Derivative Security Pricing," Dynamic Modeling and Econometrics in Economics and Finance, Springer, edition 127, number 978-3-662-45906-5, October.
- Kozicki, Sharon & Tinsley, P. A., 2001.
"Shifting endpoints in the term structure of interest rates,"
Journal of Monetary Economics, Elsevier, vol. 47(3), pages 613-652, June.
- Sharon Kozicki & Peter A. Tinsley, 1997. "Shifting endpoints in the term structure of interest rates," Research Working Paper 97-08, Federal Reserve Bank of Kansas City.
- Giuseppe Arbia & Michele Di Marcantonio, 2015. "Forecasting Interest Rates Using Geostatistical Techniques," Econometrics, MDPI, vol. 3(4), pages 1-28, November.
- repec:wyi:journl:002108 is not listed on IDEAS
- Al-Zoubi, Haitham A., 2009. "Short-term spot rate models with nonparametric deterministic drift," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 731-747, August.
- Sercu, P., 1991. "Bond options and bond portfolio insurance," Insurance: Mathematics and Economics, Elsevier, vol. 10(3), pages 203-230, December.
- repec:wyi:journl:002109 is not listed on IDEAS
- Zongwu Cai & Yongmiao Hong, 2013. "Some Recent Developments in Nonparametric Finance," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
- Emmanuelle Clément & Christian Gourieroux & Alain Monfort, 1995. "Linear Factor Models and the Term Structure of Interest Rates," Annals of Economics and Statistics, GENES, issue 40, pages 37-65.
- Ben-Ameur, Hatem & Breton, Michele & Karoui, Lotfi & L'Ecuyer, Pierre, 2007. "A dynamic programming approach for pricing options embedded in bonds," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2212-2233, July.
- Bu, Ruijun & Cheng, Jie & Hadri, Kaddour, 2016.
"Reducible diffusions with time-varying transformations with application to short-term interest rates,"
Economic Modelling, Elsevier, vol. 52(PA), pages 266-277.
- Ruijun Bu & Jie Cheng & Kaddour Hadri, 2014. "Reducible Diffusions with Time-Varying Transformations with Application to Short-Term Interest Rates," Economics Working Papers 14-01, Queen's Management School, Queen's University Belfast.
More about this item
Keywords
term structure of interest rates; risk premium;JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
Statistics
Access and download statisticsCorrections
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:boc:bocoec:275. 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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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: Christopher F Baum (email available below). General contact details of provider: https://edirc.repec.org/data/debocus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.