Explaining the Term Structure of Interest Rates. The GKO Market from 1996 to 1998
The project is devoted to the analysis of the term structure of interest rates at the Russian GKO market during the period from 1996 to 1998. The sources of inefficiency of the market operation that led to the failure of the pure expectations hypothesis are analyzed. The model with conditional heteroskedasticity with several regimes for unconditional variance quite well describes the one-month GKO series and captures different behavior of the GKO volatility at the initial and final subperiods that were rich in various political and economic shocks.
|Date of creation:|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://www.eercnetwork.com
|Order Information:|| Postal: EERC Research Network, Russia and CIS, 1, Mazepy Str., suite 202, Kyiv, 01010 Ukraine|
Web: https://eercnetwork.com/paper Email:
When requesting a correction, please mention this item's handle: RePEc:eer:wpalle:03-07e. 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: (Anton Pashchenko)
If references are entirely missing, you can add them using this form.