.png){kind=icon}
返回
On alternative interest rate processes
.png){kind=icon}
OA
AI
DOI：10.1016/0378-4266(95)00045-3.png)
.png){kind=icon}
.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
In this paper alternative interest rate processes are estimated for Denmark, Germany, Sweden, and the UK, using the generalized method of moments (GMM). In line with the study by Chan, Karolyi, Longstaff, and Sanders (1992) on US data, there seems to be a positive relation between interest rate level and volatility for some countries. In contrast to their study, it is found that mean-reversion plays an important role for the specification of the interest rate dynamics. The results seem to be robust to the use of different moment conditions, and simulations of the estimated models reveal that they are fairly able to capture non-fitted moments as well. In addition, there is evidence of a structural change in the Danish interest rate process in August 1985, which may be due to a change in monetary policy. The small sample properties of the GMM estimators are also studied through simulations.
Keyword:
conditional volatility
mean reversion
nominal interest rate modeling
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。
期刊
J
IF:
3.8
论文数:
6.4K
被引数:
2.4W
机构
暂无机构信息
引用论文
THE EMPIRICAL IMPLICATIONS OF THE COX, INGERSOLL, ROSS THEORY OF THE TERM STRUCTURE OF INTEREST-RATES.png)
JOURNAL OF FINANCE
JOURNAL OF FINANCEIF9.5
PREAI
分享收藏
查看更多内容