Zobrazeno 1 - 10
of 241
pro vyhledávání: '"Gaussian dynamic term structure models"'
Publikováno v:
Review of Financial Studies. Mar2011, Vol. 24 Issue 3, p926-970. 45p.
Autor:
de los Rios, Antonio Diez
Publikováno v:
Journal of Business & Economic Statistics, 2015 Apr 01. 33(2), 282-295.
Externí odkaz:
http://www.jstor.org/stable/43702785
Akademický článek
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Publikováno v:
In Journal of Econometrics February 2015 184(2):420-451
We show that the unified HJM-based approach of constructing Gaussian dynamic term structure models developed by Li, Ye, and Yu (2016) nests most existing GDTSMs as special cases. We also discuss issues of interest rate derivatives pricing under this
Externí odkaz:
http://hdl.handle.net/10454/14321
Motivated by an extensive literature showing that government bond yields exhibit a strong non-Markov property, in the sense that moving averages of long-lagged yields significantly improve the predictability of excess bond returns. We then develop a
Externí odkaz:
http://hdl.handle.net/10454/14322
Publikováno v:
European Journal of Operational Research
In this paper, we show that most existing Gaussian dynamic term structure models (GDTSMs) can be nested as special cases under a unified Heath–Jarrow–Morton (HJM)-based framework of GDTSM construction. Our study provides not only a systematic way
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6893b21c94f269e19dde511db7a6bd22
http://livrepository.liverpool.ac.uk/3082463/1/LYY_EJOR_forthcoming.pdf
http://livrepository.liverpool.ac.uk/3082463/1/LYY_EJOR_forthcoming.pdf
Autor:
Diez de los Rios, Antonio
This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large—a situation in which
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5d971f91bfceb65e6b7140e65ebac436
Publikováno v:
SSRN Electronic Journal.
We show that the unified HJM-based approach of constructing Gaussian dynamic term structure models developed by Li, Ye, and Yu (2016) nests most existing GDTSMs as special cases. We also discuss issues of interest rate derivatives pricing under this
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1e6f46dd2fb95f5c9b674defb8f64c36
https://doi.org/10.2139/ssrn.2817599
https://doi.org/10.2139/ssrn.2817599
Publikováno v:
Review of Financial Studies. 24:926-970
In any canonical Gaussian dynamic term structure model (GDTSM), the conditional forecasts of the pricing factors are invariant to the imposition of no-arbitrage restrictions. This invariance is maintained even in the presence of a variety of restrict
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2c99eb188b93711b1c242bd60f553b12
https://doi.org/10.1093/rfs/hhq128
https://doi.org/10.1093/rfs/hhq128