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Author : Viviana Paulina Fernández
Publisher :
ISBN 13 :
Total Pages : 35 pages
Book Rating : 4.:/5 (523 download)
Download or read book A Non-parametric Approach to Model the Term Structure of Interest Rates written by Viviana Paulina Fernández and published by . This book was released on 2001 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Viviana Fernández M.
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.F/5 ( download)
Download or read book A Non-parametric Approach to Model the Term Structure of Interest Rates written by Viviana Fernández M. and published by . This book was released on 2001 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : John L. Knight
Publisher :
ISBN 13 :
Total Pages : 60 pages
Book Rating : 4.3/5 ( download)
Download or read book Pricing Interest Rate Derivatives in a Non-parametric Two-factor Term-structure Model written by John L. Knight and published by . This book was released on 1999 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: Proposes a non-parametric two-factor term-structure model that imposes no restrictions on the functional forms of the diffusion functions.
Author : Fathi Abid
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (129 download)
Download or read book Estimating Term Structure of Interest Rates written by Fathi Abid and published by . This book was released on 2014 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is twofold; first we concentrate on the work of Vasicek (1977) and Cox, Ingersoll and Ross (1985). We examine and test empirically each model and discuss its performance in predicting the term structure of interest rates using a parametric estimating approach GMM (Generalized Moments Method). Second we estimate the term structure of interest rate dynamics using a nonparametric approach ANN (Artificial Neural Network). Two neural network models are performed. The first model uses spreads between interest rates of 10 different maturities as the only explanatory variable of interest rate changes. The second model introduces two factors, spreads and interest rates' levels. Using historical U.S. Treasury bill rates and Treasury bond yields, we compare the ability of each model to predict the term structure of interest rates. Data are daily and cover the period from 3 January 1995 to 29 December 2000. Results suggest that, neural network; Vasicek (1977) and Cox, Ingersoll and Ross (1985) models generate different yield curves. Neural network models outperform the parametric standard models. The most successful forecast is obtained with two factors neural network model.
Author : Shun-Ying Charles Lin
Publisher :
ISBN 13 :
Total Pages : 278 pages
Book Rating : 4.:/5 (258 download)
Download or read book Nonparametric Analysis of a General Model of the Term Structure of Interest Rates written by Shun-Ying Charles Lin and published by . This book was released on 1991 with total page 278 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rajna Gibson
Publisher : Now Publishers Inc
ISBN 13 : 1601983727
Total Pages : 171 pages
Book Rating : 4.6/5 (19 download)
Download or read book Modeling the Term Structure of Interest Rates written by Rajna Gibson and published by Now Publishers Inc. This book was released on 2010 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling the Term Structure of Interest Rates provides a comprehensive review of the continuous-time modeling techniques of the term structure applicable to value and hedge default-free bonds and other interest rate derivatives.
Author : Alois Geyer
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.:/5 (7 download)
Download or read book Estimation of the Term Structure of Interest Rates written by Alois Geyer and published by . This book was released on 1999 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : João Caldeira
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (13 download)
Download or read book Forecasting the U.S. Term Structure of Interest Rates Using Nonparametric Functional Data Analysis written by João Caldeira and published by . This book was released on 2016 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we consider a novel procedure for forecasting the US yield curve by using the methodology of nonparametric kernel estimation of functional data (NP-FDA). Within this approach, each element of the sample is a monthly yield curve, evaluated at points corresponding to maturities. In this framework we attempt to capture the dynamics present in the sample of curves to forecast future values for the yield at a given maturity without imposing any parametric structure. In order to evaluated forecast performance of the proposed estimator, we consider four forecast horizons and the results are compared with widely known parametric models. Our estimates with NP-FDA present predictive performance superior to its competitors in many situations considered, especially at longer time horizons for long-term maturities. The methodol- ogy applied in this paper may be important for policy makers, fixed income portfolio managers, financial institutions and academics as it may prove useful in the construction of long-term scenarios for the yield curve.
Author : Richard Stanton
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk written by Richard Stanton and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper nonparametrically estimates a continuous-time Markov model of term structure dynamics. Due to the quot;aliasing problemquot;, which tells us that the drift and diffusion of the short rate process are not identifiable given only discretely sampled data, previous authors have parameterized at least one of the drift and diffusion functions, leaving open the possibility of misspecification. This paper imposes no parametric restrictions on either the drift or the diffusion, instead deriving and estimating a family of approximations to the true drift and diffusion functions. These approximations are identifiable using only discretely observed data, and for some common parametric models, we find that the approximations are almost indistinguishable from the true drift and diffusion when the sampling frequency is monthly or greater. Estimating the model using daily data on the 3 month Treasury Bill rate over the period January 1965 - July 1995, we find that, while the estimated diffusion is similar to the (parametric) function estimated by Chan, Karolyi, Longstaff and Sanders (1992), there is evidence of substantial nonlinearity in the drift, showing sharply increasing mean reversion as the short rate moves further from its long run mean. Knowing the process governing short term interest rate movements is not enough by itself to price interest rate derivative securities. We also need to know the market price of interest rate risk, the excess return required for an investor to bear a unit amount of additional risk. Previous research has typically assumed this to be identically zero. We explicitly estimate the functional relationship between the market price of interest rate risk and the level of interest rates, using daily excess returns on 6 month vs. 3 month Treasury Bills over the period January 1965 - July 1995, and combine this with the estimated short rate model to price interest rate dependent securities. Incorporating our estimates for the market price of interest rate risk changes the pricing results substantially.
Author : John Knight
Publisher :
ISBN 13 :
Total Pages : 55 pages
Book Rating : 4.:/5 (129 download)
Download or read book Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model written by John Knight and published by . This book was released on 2000 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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 contrast to the standard parametric two-factor models, we propose a non-parametric two-factor term-structure model that imposes no restrictions on the functional forms of the diffusion functions. Hence, this model allows for maximum flexibility when fitting diffusion functions into data. A non-parametric procedure is developed for estimating the diffusion functions, based on the discretely sampled observations. The convergence properties and the asymptotic distributions of the proposed non-parametric estimators of the diffusion functions with multivariate dimensions are also obtained. Based on U.S. data, the non-parametric prices of the bonds and bond options are computed and compared with those calculated under an alternative parametric model. The empirical results show that the non-parametric model generates significantly different prices for the derivative securities.
Author : Francois Lhabitant
Publisher :
ISBN 13 :
Total Pages : 97 pages
Book Rating : 4.:/5 (129 download)
Download or read book Modeling the Term Structure of Interest Rates written by Francois Lhabitant and published by . This book was released on 2001 with total page 97 pages. Available in PDF, EPUB and Kindle. Book excerpt: The last two decades have seen the development of a profusion of theoretical models of the term structure of interest rates. This study provides a general overview and a comprehensive comparative study of the most popular ones among both academics and practitioners. It also discusses their respective advantages and disadvantages in terms of bond and/or interest rate contingent claims continuous time valuation or hedging, parameter estimation, and calibration. Finally, it proposes a unified approach for model risk assessment. Despite the relatively complex mathematics involved, financial intuition rather then mathematical rigour is emphasised throughout. The classification by means of general characteristics should enable the understanding of the different features of each model, facilitate the choice of a model in specific theoretical or empirical circumstances, and allows the testing of various models with nested as well as non-nested specifications.
Author : International Monetary Fund
Publisher : International Monetary Fund
ISBN 13 : 1455209589
Total Pages : 64 pages
Book Rating : 4.4/5 (552 download)
Download or read book On the Estimation of Term Structure Models and An Application to the United States written by International Monetary Fund and published by International Monetary Fund. This book was released on 2010-11-01 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.
Author : Ming He Zhu
Publisher :
ISBN 13 :
Total Pages : 156 pages
Book Rating : 4.:/5 (323 download)
Download or read book A Nonparametric Approach to Prediction of Interest Rates written by Ming He Zhu and published by . This book was released on 1994 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Orazio di Miscia
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (474 download)
Download or read book Estimation of Continuous-time Interest Rate Models written by Orazio di Miscia and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Geoffrey F. Sanders
Publisher :
ISBN 13 :
Total Pages : 262 pages
Book Rating : 4.:/5 (114 download)
Download or read book A Varying Parameter Approach to Interest Rate Determination in a Term Structure Model written by Geoffrey F. Sanders and published by . This book was released on 1983 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Mr. Jun Nagayasu
Publisher : International Monetary Fund
ISBN 13 : 1451919301
Total Pages : 32 pages
Book Rating : 4.4/5 (519 download)
Download or read book The Term Structure of Interest Rates and Monetary Policy During a Zero-Interest-Rate Period written by Mr. Jun Nagayasu and published by International Monetary Fund. This book was released on 2003-10-01 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper empirically evaluates the validity of the term structure of interest rates in a low-interest-rate environment. Applying a time-series method to high-frequency Japanese data, the term-structure model is found to be useful for economic analysis only when interest rates are high. When interest rates are low, the usefulness of the model declines, since the interest spread contains little information that can be used for predicting future economic activity. The term-structure relationship is also weakened by the Bank of Japan''s use of interest rate smoothing.
Author : Robert Kimmel
Publisher :
ISBN 13 :
Total Pages : 284 pages
Book Rating : 4.:/5 (499 download)
Download or read book Modeling the Term Structure of Interest Rates written by Robert Kimmel and published by . This book was released on 2001 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
