2 edition of Estimating one-factor models of short-term interest rates found in the catalog.
Distributed by the Government of Canada Depository Services Program.Includes bibliographical references: p. 35-36.Includes abstract in French.
|Statement||Bank of Canada|
|Publishers||Bank of Canada|
|The Physical Object|
|Pagination||xvi, 56 p. :|
|Number of Pages||57|
|2||Working paper (Bank of Canada) -- 99-18.|
|3||Bank of Canada working paper -- 99-18|
nodata File Size: 10MB.
Using this assumption is it then possible to model the longer term rates. Our core businesses produce scientific, technical, medical, and scholarly journals, reference works, books, database services, and advertising; professional books, subscription products, certification and training services and online applications; and education content and services including integrated online teaching and learning resources for undergraduate and graduate students and lifelong learners.
Fixed Income Jnue, 1996 78, for the Taiwanese Government Bond TGB term structure of interest rates. The jump-diffusion model, which can incorporate jump risks, provides more insight in explaining the term structure as well as the pricing of interest rate derivatives.
We now apply these estimated parameters to the CIR Model process to simulate future short rates of interest. Hypothesis testing strongly suggests these one-factor models do not provide a good description of the evolution of Canadian short-term interest rates.
The paper extends the one-factor BDT term structure model to a two-factor setting, and presents the pricing implications for discount bonds. Wiley is a global provider of content and content-enabled workflow solutions in areas of scientific, technical, medical, and scholarly research; professional development; and education. A wide variety of one-factor diffusion and two-factor stochastic volatility models is compared in terms of their ability to capture the dynamics of interest rate volatility.
This paper considers a wide range of these models that are nested into one general model. However, the results are dependent on the estimation technique, more so for Canada than the United States. Each issue of the journal reaches over 8,000 academics, finance professionals, libraries, government and financial institutions around the world.
A range of one factor continuous time models of the short-term interest rate are estimated using a discrete time model and compared to a recent discrete approximation used by Chan, Karolyi, Longstaff, and Sanders 1992a, hereafter CKLS.
The results show that both the one-factor and two-factor Vasicek and jump-diffusion models are statistically significant, with the two-factor models fitting better.
With these elements in place and using a time step, dt we are now able to simulate future interest rates by using the following equation: Where et are normally scaled random numbers generated in Excel using the function NORMSINV RAND Modelling longer term rates For a short rate one factor model like CIR the assumption is that there is only one source of randomness in the yield curve, which is the short term interest rate.