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Recent advances in estimating term-structure models
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DOI：10.2469/faj.v57.n4.2467.png)
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Abstract
En 中文
In the past 10 years, increasingly sophisticated statistical techniques have been applied to the estimation of increasingly complex models of the term structure of interest rates. In reviewing this literature, we highlight the facts that have been established and the key unresolved issues. The data indicate that within a wide range of interest rates, mean reversion in rates is, at best, weak. Whether mean reversion is stronger for very high or very low levels of rates is an unresolved issue. The absolute volatility of rates increases as the level of rates increases, but the strength of this effect and the role and nature of either stochastic-volatility or regime-switching components in rates are still unclear. Unfortunately, these unresolved issues have important implications for fixed-income option pricing and risk measurement, including value-at-risk calculations.
Keywords:
AUTOREGRESSIVE CONDITIONAL HETEROSKEDASTICITY
GENERAL EQUILIBRIUM-MODEL
INTEREST-RATES
STOCHASTIC VOLATILITY
INFORMATION
RETURNS
REGIME
TESTS
DIFFUSIONS
ECONOMIES
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