𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Regime shifts in the Danish term structure of interest rates

✍ Scribed by Tom Engsted; Ken Nyholm


Publisher
Springer-Verlag
Year
2000
Tongue
English
Weight
184 KB
Volume
25
Category
Article
ISSN
0377-7332

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Nonlinear mean reversion in the term str
✍ Byeongseon Seo πŸ“‚ Article πŸ“… 2003 πŸ› Elsevier Science 🌐 English βš– 370 KB

The expectations hypothesis implies that the yield curve provides information on the future change in the short-term interest rate. However, transaction costs exist in the ΓΏnancial market, which prevent investors from realizing the arbitrage opportunity, when the arbitrage does not fully cover the t

Improving the term structure of interest
✍ Lourdes GΓ³mez-Valle; Julia MartΓ­nez-RodrΓ­guez πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 241 KB πŸ‘ 2 views

## Abstract We consider a new approach for estimating the coefficients of the term structure equation in two‐factor models. This approach is based on the fact that the risk‐neutral drifts of the factors are directly estimated. Therefore, the market prices of risk and the physical drifts do not have