๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

On the de-facto convex structure of a least square problem for estimating the term structure of interest rates

โœ Scribed by Hiroshi Konno; Toru Takase

Publisher
Springer
Year
1996
Tongue
English
Weight
362 KB
Volume
3
Category
Article
ISSN
1573-6946

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

A joint model for the term structure of
A joint model for the term structure of interest rates and the macroeconomy
โœ Hans Dewachter; Marco Lyrio; Konstantijn Maes ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 334 KB ๐Ÿ‘ 2 views

## Abstract We present and estimate a continuous time term structure model that incorporates observable macroeconomic variables and latent variables with a clear macroeconomic interpretation. Our model is able to accurately describe the joint dynamics for US macroeconomic variables and the yield cu

084041 (E51,E10) The term structure of i
084041 (E51,E10) The term structure of interest rates: Alternative approaches and their implications for the valuation of contingent claims : Subrahmanyam M.G., The Geneva papers on risk and insurance theory 21 7โ€“28 (1996)
๐Ÿ“‚ Article ๐Ÿ“… 1997 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 176 KB

4 bstracts and Reviews 267 concept of linear stochastic dominance is sufficient to generate the desired result. These results are linked to existing sufficient conditions in the one safe-one risky asset model, as the condition of strong increase in risk or the monotone likelihood ratio order. They a