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Predicting the Short Term Forward Interest Rate Structure Using a Parsimonious Model

Author

Listed:
  • Bhar, R.
  • Hunt, D.F.

Abstract

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Suggested Citation

  • Bhar, R. & Hunt, D.F., 1993. "Predicting the Short Term Forward Interest Rate Structure Using a Parsimonious Model," Papers e9307, Western Sydney - School of Business And Technology.
  • Handle: RePEc:fth:wesybu:e9307
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    Citations

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    Cited by:

    1. Carl Chiarella & Nadima El-Hassan, 1997. "Evaluation of Derivative Security Prices in the Heath-Jarrow-Morton Framework as Path Integrals Using Fast Fourier Transform Techniques," Working Paper Series 72, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    2. Carl Chiarella & Nadima El-Hassan, 1996. "A Preference Free Partial Differential Equation for the Term Structure of Interest Rates," Working Paper Series 63, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    3. Ram Bhar & Carl Chiarella, 1996. "Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model," Working Paper Series 66, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    4. Ram Bhar & Carl Chiarella, 1995. "The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques," Working Paper Series 54, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    5. Ramaprasad Bhar & Carl Chiarella, 1997. "Interest rate futures: estimation of volatility parameters in an arbitrage-free framework," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(4), pages 181-199.

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    Keywords

    interest rate;

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