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Markovian short rates in a forward rate model with a general class of Lévy processes

Küchler, Uwe (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919022

Extracting implicit density functions from short term interest rate options

Nielsen, Hannah - 2001

Using option prices the expectations of the market participants concerning the underlying asset can be extracted as well as the uncertainty surrounding these expectations. In this paper a mixture of lognormal density functions will be assumed to analyze options on three-month Euribor futures for...

Persistent link: https://www.econbiz.de/10009614294

Volatility estimates of the short term interest rate with an application to German data

Dankenbring, Henning - 1998

theory but rather base the decision of the lag structure on a robust Lagrange Multiplier test. In contrast to U.S. data we … find that the volatility depends on either the interest rate level or information shocks but not on both. Finally, we … propose to describe the short term interest rate's dynamics by means of an AR(1) model with stochastic volatility. -- Term …

Persistent link: https://www.econbiz.de/10009578570

Heterogeneous time preferences and interest rates : the preferred habitat theory revisited

Riedel, Frank - 1999

Habitat Theory of Modigliani and Sutch, a model for intertemporal preferences accounting for preferred habitats is proposed … term bonds to shorter instruments as the Preferred Habitat Theory predicts. …

Persistent link: https://www.econbiz.de/10009579171

Higher order forward rate agreements and the smoothness of the term structure

Jaschke, Stefan R. - 1998

This paper proposes linear higher order conditions on the term structure that allow to compute valuation bounds for any deterministic cash stream. Starting from bounds on the forward rate curve and its derivatives, which are nonlinear in the discount factors, we derive linear conditions that are...

Persistent link: https://www.econbiz.de/10009579185

The term structure of interest rates when the growth rate is unobservable

Riedel, Frank - 1997

The effect of incomplete information on the term structure of interest rates is examined in the framework of a pure exchange economy under uncertainty. When the growth rate of the aggregate endowment is known, the term structure is flat and deterministic. When agents do not observe the...

Persistent link: https://www.econbiz.de/10009659628

Testing for short and long-run causality : the case of the yield spread and economic growth

Breitung, Jörg; Candelon, Bertrand - 2001

To assess the predictive content of the interest rate term spread for future economic growth, we distinguish short-run from long-run predictability by using two different approaches. First, following Dufour and Renault (1998) a test procedure is proposed to test for causality at different...

Persistent link: https://www.econbiz.de/10009617950

Default compensator, incomplete information, and the term structure of credit spreads

Giesecke, Kay - 2001

We provide a framework for the analysis of term structures of credit spreads on corporate bonds in the presence of informational asymmetries. While bond investors observe default incidents, we suppose that they have incomplete information on the firm's assets and/or the threshold asset level at...

Persistent link: https://www.econbiz.de/10009620780

Estimating yield curves by Kernel smoothing methods

Linton, Oliver; Mammen, Enno; Nielsen, Jens Perch; … - 1998

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is non-parametric and does not assume particular functional form for the discount function although we do show how to impose various restrictions...

Persistent link: https://www.econbiz.de/10009580489

On Markovian short rates in term structure models driven by jump-diffusion processes

Gapeev, P. V. (contributor); Küchler, U. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001917033

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