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Term Structure Analysis with Big Data: One-Step Estimation Using Bond Prices
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DOI：10.1016/j.jeconom.2019.04.019.png)
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摘要
En 中文
Nearly all studies that analyze the term structure of interest rates take a two-step approach. First, actual bond prices are summarized by interpolated synthetic zero-coupon yields, and second, some of these yields are used as the source data for further empirical examination. In contrast, we consider the advantages of a one-step approach that directly analyzes the universe of bond prices. To illustrate the feasibility and desirability of the one-step approach, we compare arbitrage-free dynamic term structure models estimated using both approaches. We also provide a simulation study showing that a one-step approach can extract the information in large panels of bond prices and avoid any arbitrary noise introduced from a first-stage interpolation of yields. (C) 2019 Elsevier B.V. All rights reserved.
Keyword:
Extended Kalman filter
Fixed-coupon bond prices
Arbitrage-free Nelson-Siegel model
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