Search Results - subject:"single-factor models"

Estimating Parameters of Short-Term Real Interest Rate Models

Khramov, Vadim - International Monetary Fund (IMF) - 2013

This paper sheds light on a narrow but crucial question in finance: What should be the parameters of a model of the short-term real interest rate? Although models for the nominal interest rate are well studied and estimated, dynamics of the real interest rate are rarely explored. Simple ad hoc...

Persistent link: https://www.econbiz.de/10010790316

An Empirical Study of the Chinese Short-Term Interest Rate: A Comparison of the Predictive Power of Rival One-Factor Models

Xu, Hai Yan; Ward, Bert D.; Nartea, Gilbert V. - 2007

evaluate the predictive power of the single factor models. …

Persistent link: https://www.econbiz.de/10009444771

An Empirical Study of the Chinese Short-Term Interest Rate: A Comparison of the Predictive Power of Rival One-Factor Models

Xu, Hai Yan; Ward, Bert D.; Nartea, Gilbert V. - In: Review of Applied Economics 3 (2007) 1-2

evaluate the predictive power of the single factor models. …

Persistent link: https://www.econbiz.de/10005256589