A Semi-Parametric Factor Model for Interest Rates
Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor models of interest rates but proposes a semi- parametric procedure to model interest rates.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||1996|
|Date of revision:|
|Contact details of provider:|| Postal: C.P. 6128, Succ. centre-ville, Montréal (PQ) H3C 3J7|
Phone: (514) 343-6557
Fax: (514) 343-7221
Web page: http://www.cireq.umontreal.ca
More information through EDIRC
References listed on IDEAS
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.:
- Andrews, Donald W K & Monahan, J Christopher, 1992.
"An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator,"
Econometric Society, vol. 60(4), pages 953-66, July.
- Donald W.K. Andrews & Christopher J. Monahan, 1990. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Cowles Foundation Discussion Papers 942, Cowles Foundation for Research in Economics, Yale University.
- R. Glenn Hubbard & Anil Kashyap, 1990.
"Internal Net Worth and the Investment Process: An Application to U.S. Agriculture,"
NBER Working Papers
3339, National Bureau of Economic Research, Inc.
- Hubbard, R Glenn & Kashyap, Anil K, 1992. "Internal Net Worth and the Investment Process: An Application to U.S. Agriculture," Journal of Political Economy, University of Chicago Press, vol. 100(3), pages 506-34, June.
- R. Glenn Hubbard & Anil K. Kashyap, 1990. "Internal net worth and the investment process: an application to U.S. agriculture," Finance and Economics Discussion Series 124, Board of Governors of the Federal Reserve System (U.S.).
- R. Glenn Hubbard & Anil K. Kashyap, 1991. "Internal net worth and the investment process: an application to U.S. agriculture," Working Paper Series, Macroeconomic Issues 91-27, Federal Reserve Bank of Chicago.
- HÄRDLE, Wolfgang, 1992.
"Applied nonparametric methods,"
CORE Discussion Papers
1992003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9204, Catholique de Louvain - Institut de statistique.
- Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9206, Tilburg - Center for Economic Research.
- Wolfgang Hardle & Oliver Linton, 1994. "Applied Nonparametric Methods," Cowles Foundation Discussion Papers 1069, Cowles Foundation for Research in Economics, Yale University.
- Härdle, W.K., 1992. "Applied Nonparametric Methods," Discussion Paper 1992-6, Tilburg University, Center for Economic Research.
- Stambaugh, Robert F., 1988. "The information in forward rates : Implications for models of the term structure," Journal of Financial Economics, Elsevier, vol. 21(1), pages 41-70, May.
- Haerdle,Wolfgang & Stoker,Thomas, 1987. "Investigations smooth multiple regression by the method of average derivatives," Discussion Paper Serie A 107, University of Bonn, Germany.
- 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.
- Powell, James L. & Stoker, Thomas M., 1992. "Optimal bandwidth choice for density-weighted averages," Working papers 3424-92., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Robert J. Shiller & J. Huston McCulloch, 1987.
"The Term Structure of Interest Rates,"
NBER Working Papers
2341, National Bureau of Economic Research, Inc.
- Ichimura, H., 1991. "Semiparametric Least Squares (sls) and Weighted SLS Estimation of Single- Index Models," Papers 264, Minnesota - Center for Economic Research.
- Chen, Ren-Raw & Scott, Louis O, 1992. "Pricing Interest Rate Options in a Two-Factor Cox-Ingersoll-Ross Model of the Term Structure," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 613-36.
- Courtadon, Georges, 1982. "The Pricing of Options on Default-Free Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(01), pages 75-100, March.
- Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
- Oliver LINTON, .
"Applied nonparametric methods,"
Statistic und Oekonometrie
9312, Humboldt Universitaet Berlin.
- Ait-Sahalia, Yacine, 1996.
"Nonparametric Pricing of Interest Rate Derivative Securities,"
Econometric Society, vol. 64(3), pages 527-60, May.
- Yacine Ait-Sahalia, 1995. "Nonparametric Pricing of Interest Rate Derivative Securities," NBER Working Papers 5345, National Bureau of Economic Research, Inc.
- Singh, Radhey S. & Ullah, Aman, 1985. "Nonparametric Time-Series Estimation of Joint DGP, Conditional DGP, and Vector Autoregression," Econometric Theory, Cambridge University Press, vol. 1(01), pages 27-52, April.
- Powell, James L & Stock, James H & Stoker, Thomas M, 1989. "Semiparametric Estimation of Index Coefficients," Econometrica, Econometric Society, vol. 57(6), pages 1403-30, November.
- Gouriéroux, Christian & Scaillet, O., 1994. "Estimation of the term structure from bond data," CEPREMAP Working Papers (Couverture Orange) 9415, CEPREMAP.
- Robert A. Jarrow, 2009. "The Term Structure of Interest Rates," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 69-96, November.
- Bansal, Ravi & Viswanathan, S, 1993. " No Arbitrage and Arbitrage Pricing: A New Approach," Journal of Finance, American Finance Association, vol. 48(4), pages 1231-62, September.
When requesting a correction, please mention this item's handle: RePEc:mtl:montec:9612. 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: (Sharon BREWER)
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.