The stability of factor models of interests rates

The term structure of American interest rates is ﬁltered to reduce the inﬂuence of cross correlations and auto correlations on its factors. A three-factor model is ﬁtted to the ﬁltered data. Contrary to most studies of the term structure on monthly data, performing statistical tests we collect empirical evidence that factor loadings are unstable through time for our daily dataset. This ﬁnding is not due to the presence of outliers.

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Year of publication:	2003-07-01
Authors:	Audrino, Francesco ; Barone-Adesi, Giovanni ; Mira, Antonietta
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Regressionsanalyse \| Faktoranalyse \| Zinsstruktur \| Term structure model

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Extent:	674816 bytes 26 p. application/pdf
Series:	Universität Zürich - Institut für Schweizerisches Bankwesen - Working Papers Working Paper ; No. 110 (2003)
Type of publication:	Book / Working Paper
Language:	English
Classification:	C12 - Hypothesis Testing ; C14 - Semiparametric and Nonparametric Methods ; C51 - Model Construction and Estimation ; Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; USA
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005858553