An Analysis of the Ultra Long-Term Yields
The discounting of very long-term cash-flows is crucial for the valuation oflong-term investment projects. In this paper, we analyze the market prices ofUS government bonds with very long-term time-to-maturity, and emphasizesome statistical specificities of very long-term zero-coupon rates, that stan-dard Gaussian affine term structure models do not account for. In addition,we describe and estimate three Gaussian Nelson-Siegel affine term structuremodels, and highlight the model characteristics, which are necessary to matchthe dynamics of very long-term interest rates.
|Date of creation:||2010|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: 01 41 17 60 81
Web page: http://www.crest.fr
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:crs:wpaper:2010-49. 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: (Florian Sallaberry)
If references are entirely missing, you can add them using this form.