Estimation of the term structure of interest rates: a parametric approach
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| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Wien
Österreichische Nationalbank
1999
|
| Series: | Österreichische Nationalbank <Wien>: Working papers
37 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 38 S. graph. Darst. |
Staff View
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Record in the Search Index
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| adam_text | Table of Contents
1 Introduction 7
2 Basic principles of modeling the term structure 9
2.1 Bond pricing and definitions of interest rates 9
2.2 Parametric models of the term structure 13
2.3 Principles of model estimation 15
3 The term structure of interest rates in Austria, Germany, UK, USA and Japan
18
3.1 Data description and accrued interest calculation 18
3.2 Estimation procedure 20
3.3 Econometric results 21
3.4 Term structure estimates 30
4 Conclusions 36
References 37
|
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| physical | 38 S. graph. Darst. |
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| series | Österreichische Nationalbank <Wien>: Working papers |
| series2 | Österreichische Nationalbank <Wien>: Working papers |
| spelling | Geyer, Alois Verfasser aut Estimation of the term structure of interest rates a parametric approach Alois Geyer and Richard Mader Wien Österreichische Nationalbank 1999 38 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Österreichische Nationalbank <Wien>: Working papers 37 Zinsstruktur (DE-588)4067855-6 gnd rswk-swf Zinsstruktur (DE-588)4067855-6 s DE-604 Mader, Richard Verfasser aut Österreichische Nationalbank <Wien>: Working papers 37 (DE-604)BV010483161 37 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008608151&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Geyer, Alois Mader, Richard Estimation of the term structure of interest rates a parametric approach Österreichische Nationalbank <Wien>: Working papers Zinsstruktur (DE-588)4067855-6 gnd |
| subject_GND | (DE-588)4067855-6 |
| title | Estimation of the term structure of interest rates a parametric approach |
| title_auth | Estimation of the term structure of interest rates a parametric approach |
| title_exact_search | Estimation of the term structure of interest rates a parametric approach |
| title_full | Estimation of the term structure of interest rates a parametric approach Alois Geyer and Richard Mader |
| title_fullStr | Estimation of the term structure of interest rates a parametric approach Alois Geyer and Richard Mader |
| title_full_unstemmed | Estimation of the term structure of interest rates a parametric approach Alois Geyer and Richard Mader |
| title_short | Estimation of the term structure of interest rates |
| title_sort | estimation of the term structure of interest rates a parametric approach |
| title_sub | a parametric approach |
| topic | Zinsstruktur (DE-588)4067855-6 gnd |
| topic_facet | Zinsstruktur |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008608151&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV010483161 |
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