A Comparative Analysis of Several Popular Term Structure Estimation Models

Fixed-income analysis begins with the term structure. Issues arise as to the methodology for estimating a term structure. Practitioners seem to want a method that is easy to implement, reliable, accurate, and appropriate for their particular niche (e.g., hedging, mortgage-backed, trading, or valuation). Our analysis addresses estimation methodology by using simulations to examine six methods of deriving a cross-sectional discount function

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Year of publication:	2013
Authors:	Ferguson, Robert
Other Persons:	Raymar, Steven B. (contributor)
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Zinsstruktur \| Yield curve \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory

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Extent:	1 Online-Ressource (17 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Journal of Fixed Income, Vol. 7, No. 4, 1998, 17-33 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments 1998 erstellt
Classification:	G10 - General Financial Markets. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013074870