An Assessment Of Estimates Of Term Structure Models For The United States
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Language: en
Pages: 33
Pages: 33
Type: BOOK - Published: 2011-10-01 - Publisher: International Monetary Fund
The paper assesses estimates of term structure models for the United States. To this end, this paper first describes the mathematics underlying two types of ter
Language: en
Pages: 64
Pages: 64
Type: BOOK - Published: 2010-11-01 - Publisher: International Monetary Fund
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel
Language: en
Pages: 54
Pages: 54
Type: BOOK - Published: 2006 - Publisher:
We estimate a three-factor model to fit both the time-series dynamics and cross-sectional shapes of the U.S. term structure. In the model, three unobserved fact
Language: en
Pages: 274
Pages: 274
Type: BOOK - Published: 2010 - Publisher:
The first essay empirically evaluates recently developed techniques that have been proposed to improve the estimation of affine term structure models. The evalu
Language: en
Pages: 224
Pages: 224
Type: BOOK - Published: 2005-12-08 - Publisher: Springer Science & Business Media
This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the Universit
