We study the fitting of the euro yield curve with the Longstaff and Schwartz (1992) (LS) two - factor general equilibrium model and the Schaefer and Schwartz (1984) (SS) two-factor arbitrage model of the term structure of interest rates. The Cox, Ingersoll, and Ross (1985b) (CIR) one-factor...

Please enter abstract text here. This paper uses a dynamic factor model recently studied by Forni, Hallin, Lippi and Reichlin (2000) and Forni, Giannone, Lippi and Reichlin (2004) to analyze the response of 21 U.S. interest rates to news. Using daily data, we find that the news that affects...

Galluccio and Roncoroni (2006) empirically demonstrate that cross-sectional data provide relevant information when assessing dynamic risk in fixed income markets. We propose a theoretical framework supporting that finding, which is based on a notion of ldquo;shape factorsrdquo;. This notion...

This paper motivates and introduces a two-stage method for estimating diffusion processes based on discretely sampled observations. In the first stage we make use of the feasible central limit theory for realized volatility, as recently developed in Barndorff-Nielsen and Shephard (2002), to...

In continuous time specifications, the prices of interest rate derivative securities depend crucially on the mean reversion parameter of the associated interest rate diffusion equation. This parameter is well known to be subject to estimation bias when standard methods like maximum likelihood...

Diffusion functions in term-structure models are measures of uncertainty about future price movements and are directly related to the risk associated with holding financial securities. Correct specification of diffusion functions is crucial in pricing options and other derivative securities. In...

Bu calismada gecelik kur takasi faizleri ile BIST Repo-Ters Repo Pazari’ndaki gecelik repo faizleri arasindaki iliski incelenmektedir. Soz konusu faizlerin Turkiye’de para politikasinin aktarim mekanizmasi icerisinde onemli bir yere sahip olmasi sebebiyle iki piyasa arasindaki iliskinin...

This paper proposes an asymmetric kernel-based method for nonparametric estimation of scalar diffusion models of spot interest rates. We derive the asymptotic theory for the asymmetric kernel estimators of the drift and diffusion functions for general and positive recurrent processes and...

This paper motivates and introduces a two-stage method of estimating diffusion processes based on discretely sampled observations. In the first stage we make use of the feasible central limit theory for realized volatility, as developed in Jacod (1994) and Barndorff-Nielsen and Shephard (2002),...

This empirical research explores the interaction between the overnight currency swap rates (Turkish lira rates) and BIST overnight repo rates. In this context, the derived no arbitrage condition reveals that the differential between the two rates is determined by Libor, financial institutions’...