Analyzing visual attention tot repeated print advertising using scanpath theory
The purpose of this paper is to propose a nonparametric interest rate term structure model and investigate its implications on term structure dynamics and prices of interest rate derivative securities. The nonparametric spot interest rate process is estimated from the observed short-term interest rates following a robust estimation procedure and the market price of interest rate risk is estimated as implied from the historical term structure data. That is, instead of imposing a priori restrictions on the model, data are allowed to speak for themselves, and at the same time the model retains a parsimonious structure and the computational tractability. The model is implemented using historical Canadian interest rate term structure data. The parametric models with closed form solutions for bond and bond option prices, namely the Vasicek (1977) and CIR (1985) models, are also estimated for comparison purpose. The empirical results not only provide strong evidence that the traditional spot interest rate models and market prices of interest rate risk are severely misspecified but also suggest that different model specifications have significant impact on term structure dynamics and prices of interest rate derivative securities.
|Date of creation:||1997|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +31 50 363 7185
Fax: +31 50 363 3720
Web page: http://som.eldoc.ub.rug.nl/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Rosbergen, E. & Pieters, R. & Wedel, M., 1997. "Visual attention to advertising : A segment-level analysis," Other publications TiSEM c77552c4-5b16-4ecb-8a21-2, Tilburg University, School of Economics and Management.
- Rosbergen, Edward & Pieters, Rik & Wedel, Michel, 1997. " Visual Attention to Advertising: A Segment-Level Analysis," Journal of Consumer Research, University of Chicago Press, vol. 24(3), pages 305-14, December.
When requesting a correction, please mention this item's handle: RePEc:dgr:rugsom:97b32. 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: (Joke Bulthuis)
If references are entirely missing, you can add them using this form.