A Simple Model of the Nominal Term Structure of Interest Rates
This paper presents a simple two-factor model of nominal term structure of interest rates, in which the log-price kernel has an autoregressive drift process and a nonlinear GARCH volatility process. With these two state-variable processes, closed-form solutions are derived for zero-coupon bond prices as well as yield to maturity for a given time to maturity.
Year of publication: |
2008-12
|
---|---|
Authors: | Choi, Yougsoo ; Wirjanto, Tony S. |
Institutions: | Department of Economics, University of Waterloo |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Xu, Dinghai, (2008)
-
Asymmetric Stochastic Conditional Duration Model --A Mixture of Normals Approach"
Xu, Dinghai, (2008)
-
Re-examining Accounting Conservatism: The Importance of Adjusting for Firm Heterogeneity
Huang, Alan, (2008)
- More ...