Search Results - subject:"term structure models"

Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates

Fendel, Ralf - 2004

term structure of interest rates from 1979 through 1998. In contrast to most affine term structure models two risk factors …

Persistent link: https://www.econbiz.de/10010295651

A joint econometric model of macroeconomic and term structure dynamics

Hördahl, Peter; Tristani, Oreste; Vestin, David - 2004

We construct and estimate a joint model of macroeconomic and yield curve dynamics. A small-scale rational expectations model describes the macroeconomy. Bond yields are affine functions of the state variables of the macromodel, and are derived assuming absence of arbitrage opportunities and a...

Persistent link: https://www.econbiz.de/10011604451

A joint econometric model of macroeconomic and term structure dynamics

Hördahl, Peter; Tristani, Oreste; Vestin, David - European Central Bank - 2004

Persistent link: https://www.econbiz.de/10005530738

Towards a Joint Characterization of Monetary Policy and the Dynamics of the Term Structure of Interest Rates

Fendel, Ralf - Deutsche Bundesbank - 2004

term structure of interest rates from 1979 through 1998. In contrast to most affine term structure models two risk factors …

Persistent link: https://www.econbiz.de/10005083188

Consistency conditions for affine term structure models

Levendorskii, Sergei - Econometric Society - 2004

Affine term structure models are widely applied for pricing of bonds and interest rate derivatives but the consistency … of affine term structure models (ATSM) in cases when the short rate may be unbounded from below remains essentially an …-Kac formula, and monotonicity of the bond price are derived, for wide classes of affine term structure models in the pure …

Persistent link: https://www.econbiz.de/10005063599

A joint econometric model of macroeconomic and term structure dynamics

Hoerdahl, Peter; Tristani, Oreste - Econometric Society - 2004

We construct and estimate a joint model of macroeconomic and yield curve dynamics. A small-scale backward/forward-looking rational expectations model describes the macroeconomy. Bond yields are affine functions of the state variables of the macromodel, and are derived assuming absence of...

Persistent link: https://www.econbiz.de/10005063691

Bayesian Factor Selection in Dynamic Term Structure Models

Laurini, Márcio - IBMEC Business School - Rio de Janeiro - 2011

This paper discusses Bayesian procedures for factor selection in dynamic term structure models through simulation …

Persistent link: https://www.econbiz.de/10009001791

Interest rate models on Lie groups

Park, F. C.; Chun, C. M.; Han, C. W.; Webber, N. - In: Quantitative Finance 11 (2010) 4, pp. 559-572

This paper examines an alternative approach to interest rate modeling, in which the nonlinear and random behavior of interest rates is captured by a stochastic differential equation evolving on a curved state space. We consider as candidate state spaces the matrix Lie groups; these offer not...

Persistent link: https://www.econbiz.de/10009215052

RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING

QALLI, YASSINE EL - In: International Journal of Theoretical and Applied … 13 (2010) 02, pp. 301-333

In this paper we describe a recursive Bayesian algorithm for the estimation of forward price models. The forward price is modeled within the benchmark framework for a forward price volatility function which includes a stochastic variable; a forward price with a liquidly traded maturity. A...

Persistent link: https://www.econbiz.de/10008467156

Assessing sovereign debt strategies under alternative term structure models

Choi, Geon-ho; Kim, Myung-jig; Lee, Hangyong - In: Asia-Pacific journal of financial studies 39 (2010) 6, pp. 777-799

Persistent link: https://www.econbiz.de/10009231504