The purpose of this paper is to propose a nonparametric interest rate term structure model and investigate its implications on term structure dynamics and prices of interest rate derivative securities. The nonparametric spot interest rate process is estimated from the observed short-term interest rates following a robust estimation procedure and the market price of interest rate risk is estimated as implied from the historical term structure data. That is, instead of imposing a priori restrictions on the model, data are allowed to speak for themselves, and at the same time the model retains a parsimonious structure and the computational tractability. The model is implemented using historical Canadian interest rate term structure data. The p...
This article deals with a model for the term structure of interest rates and the valuation of deriva...
The modeling of the term structure dynamics is important for a variety of reasons. Forecasting is a ...
The term structure of interest rates shows the relationship between yields of zero-coupon bonds and ...
The purpose of this paper is to propose a nonparametric interest rate term structure model and inves...
The purpose of this paper is to propose a nonparametric interest rate term structure model and inves...
The purpose of this paper is to propose a nonparametric interest rate term structure model and inves...
The purpose of this paper is to propose a nonparametric interest rate term structure model and inves...
The purpose of this paper is to propose a nonparametric interest rate term structure model and inves...
The purpose of this paper is to propose a nonparametric interest rate term structure model and inves...
The purpose of this paper is to propose a nonparametric interest rate term structure model and inves...
This paper develops a nonparametric model of interest rate term structure dynamics based an a spot r...
Term structure models use interest rate derivative products to depict the evolution of spot and forw...
Abstract. The paper developes a general arbitrage free model for the term structure of interest rate...
The purpose of this study is to extend the empirical research on the term structure dynamics for int...
This article presents a technique for nonparametrically estimating continuous-time di#usion processe...
This article deals with a model for the term structure of interest rates and the valuation of deriva...
The modeling of the term structure dynamics is important for a variety of reasons. Forecasting is a ...
The term structure of interest rates shows the relationship between yields of zero-coupon bonds and ...
The purpose of this paper is to propose a nonparametric interest rate term structure model and inves...
The purpose of this paper is to propose a nonparametric interest rate term structure model and inves...
The purpose of this paper is to propose a nonparametric interest rate term structure model and inves...
The purpose of this paper is to propose a nonparametric interest rate term structure model and inves...
The purpose of this paper is to propose a nonparametric interest rate term structure model and inves...
The purpose of this paper is to propose a nonparametric interest rate term structure model and inves...
The purpose of this paper is to propose a nonparametric interest rate term structure model and inves...
This paper develops a nonparametric model of interest rate term structure dynamics based an a spot r...
Term structure models use interest rate derivative products to depict the evolution of spot and forw...
Abstract. The paper developes a general arbitrage free model for the term structure of interest rate...
The purpose of this study is to extend the empirical research on the term structure dynamics for int...
This article presents a technique for nonparametrically estimating continuous-time di#usion processe...
This article deals with a model for the term structure of interest rates and the valuation of deriva...
The modeling of the term structure dynamics is important for a variety of reasons. Forecasting is a ...
The term structure of interest rates shows the relationship between yields of zero-coupon bonds and ...