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.

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Year of publication:	1996
Authors:	Ghysels, E. ; Ng, S.
Institutions:	Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
Subject:	INTEREST RATE \| FINANCIAL MARKET \| INTERNATIONAL FINANCE \| MODELS

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Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	27 pages
Classification:	C22 - Time-Series Models ; C32 - Time-Series Models ; E40 - Money and Interest Rates. General ; E43 - Determination of Interest Rates; Term Structure Interest Rates
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005729551