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An empirical investigation of the level effect in Australian interest rates
Gray, P.; Smith, D. R. - 2008
model fit suggest that, in addition to the usual level effect, the incorporation of GARCH effects and possible regime shifts …
Persistent link: https://www.econbiz.de/10009483283
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An Empirical Investigation of the Level Effect in Australian Interest Rates
Gray, Philip; Smith, Daniel R. - In: Australian Journal of Management 33 (2008) 1, pp. 31-45
model fit suggest that, in addition to the usual level effect, the incorporation of GARCH effects and possible regime shifts …
Persistent link: https://www.econbiz.de/10010769309
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The CARMA interest rate model
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; … - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10010363925
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Modelling the dynamics of long-term bonds with Kalman filter
Mawonike, Romeo; Ikpe, Dennis; Gyamerah, Samuel Asante - In: International journal of bonds and derivatives 4 (2021) 3, pp. 236-257
Persistent link: https://www.econbiz.de/10012612669
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THE CARMA INTEREST RATE MODEL
ANDRESEN, ARNE; BENTH, FRED ESPEN; KOEKEBAKKER, STEEN; … - In: International Journal of Theoretical and Applied … 17 (2014) 02, pp. 1450008-1
In this paper, we present a multi-factor continuous-time autoregressive moving-average (CARMA) model for the short and forward interest rates. This model is able to present an adequate statistical description of the short and forward rate dynamics. We show that this is a tractable term structure...
Persistent link: https://www.econbiz.de/10010883222
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Un modelo de tres factores con un parámetro de sensibilidad de mercado para estimar la dinámica de la tasa corta: Una aplicación para la tasa de fondeo gubernamental de México
Ruiz-Porras, Antonio; Perez-Sicairos, Rene Benjamin - Volkswirtschaftliche Fakultät, … - 2010
In this study we develop a three-factor model of the term structure of interest rates that includes a market sensitivity parameter. In the model the future short-rate depends on the current short-rate, the short-term mean of the short rate and the current volatility of the short-rate. The...
Persistent link: https://www.econbiz.de/10008694033
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Regime-Switching Univariate Diffusion Models of the Short-Term Interest Rate
Choi, Seungmoon - In: Studies in Nonlinear Dynamics & Econometrics 13 (2009) 1, pp. 1614-1614
This article proposes a general regime-switching univariate diffusion model to describe the dynamics of the short-term interest rate. The maximum likelihood estimates are obtained using the weekly series of U.S. three-month treasury bill rates. The estimation results reveal that there are strong...
Persistent link: https://www.econbiz.de/10005584864
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Indian G-Sec Market II: Anatomy of Short Rates
Das, Rituparna - Volkswirtschaftliche Fakultät, … - 2010
This paper demonstrates how, without mechanically applying any formula like Nelson-Siegel or Nelson-Siegel-Svensson straight cut, a short term yield curve can intuitively be constructed with traded securities and then plugging the gaps with regression and cubic splines on case by case basis,...
Persistent link: https://www.econbiz.de/10008765915
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Yield-factor volatility models
Perignon, Christophe; Smith, Daniel R. - 2007
curvature of the yield curve that simultaneously includes level and GARCH effects along with regime shifts. We show that the … level of the short rate is useful in modeling the volatility of the three yield factors and that there are significant GARCH … with level and GARCH effects provides the best out-of-sample forecasting performance of yield volatility. We argue that the …
Persistent link: https://www.econbiz.de/10009483287
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Macroeconomic sources of risk in the term structure
Balfoussia, Chiona; Wickens, Mike - 2004
returns of different maturity and the fundamental macroeconomic factors is modelled using multivariate GARCH with conditional …
Persistent link: https://www.econbiz.de/10010261080