The functional form of yield curves:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Frankfurt am Main
European Central Bank
2002
|
| Series: | Working paper series / European Central Bank
148 |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | 52 S. |
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MARC
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| 100 | 1 | |a Brousseau, Vincent |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a The functional form of yield curves |c by Vincent Brousseau |
| 264 | 1 | |a Frankfurt am Main |b European Central Bank |c 2002 | |
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| 810 | 2 | |a European Central Bank |t Working paper series |v 148 |w (DE-604)BV012681744 |9 148 | |
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Record in the Search Index
| _version_ | 1805068754496782336 |
|---|---|
| adam_text |
CONTENTS
ABSTRACT
4
EXECUTIVE
SUMMARY
5
I
INTRODUCTION
7
2
PARSIMONY,
VIABILITY,
COMPLETENESS
9
2.
1
THE
YIELD
CURVE
9
2.1.1
THE
YIELD
CURVE:
DEFINITIONS
AND
NOTATIONS
9
2.
1
.2
ARBITRAGE
PRICING
MODELS:
GENERAL
OVERVIEW
1
0
2.
1
.3
ARBITRAGE
PRICING
MODELS
OF
THE
YIELD
CURVE
1
0
2.2
THE
FUNCTIONAL
FORM
OF
THE
YIELD
CURVE
11
2.2.
1
PARSIMONIOUS
FORM,
VIABLE
FORM,
COMPLETE
FORM
1
2
2.2.2
IMPORTANCE
OF
THE
PROPERTIES
OF
THE
FORM
1
5
3
THE
METHODOLOGY
1
7
3.
1
THE
DATA
1
7
3.1.1
THE
DATA
SET
1
7
3.1.2
THE
YIELD
CURVES
18
3.2
THE
ALGORITHMS
1
9
3.2.
1
INTERPRETATION
OF
THE
MARKET
DATA
20
3.2.2
BOOTSTRAPING
21
3.2.3
FILTERING
AND
COMPLETION
22
3.2.4
ESTIMATION
OF
THE
PARAMETERS
23
4
THE
RESULTS
24
4.
1
EVOLUTION
OF
THE
GOODNESS-OF-FIT
OVER
THE
SIX
LAST
YEARS
24
4.1.1
THE
AMERICAN
CURVES
24
4.
1
.2
THE
EUROPEAN
CURVES
25
4.2
ABOUT
GOOD
FITS
26
4.2.
1
A
GOOD
FIT
DOES
NOT
DEPEND
ON
THE
CHOICE
OF
THE
CRITERION
26
4.2.2
SOME
QUASI-PERFECT
FITS
27
4.2.3
A
FIRST
GLANCE
AT
THE
INTERPRETATION
OF
THE
GOODNESS-OF-FIT
PHENOMENON
27
4.3
IMPLIED
PARAMETERS
OF
THE
DKI
MODEL
27
4.3.
1
THE
IMPLIED
PARAMETERS
ON
THE
LONG
RUN
28
4.3.2
THE
IMPLIED
PARAMETERS
ON
THE
SHORT
RUN
28
4.4
IMPLIED
VALUE
OF
THE
SHORT-TERM
INTEREST
RATE
28
4.5
INTERPRETATION
OF
THE
GOODNESS-OF-FIT
PHENOMENON
29
4.5.
1
SUMMARY
OF
THE
FINDINGS
29
4.5.2
INTERPRETATION
OF
THE
FINDINGS
29
5
CONCLUSION
32
ANNEX
33
REFERENCES
34
FIGURES
36
EUROPEAN
CENTRAL
BANK
WORKING
PAPER
SERIES
44 |
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| id | DE-604.BV014746879 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-20T03:55:09Z |
| institution | BVB |
| language | English |
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| physical | 52 S. |
| publishDate | 2002 |
| publishDateSearch | 2002 |
| publishDateSort | 2002 |
| publisher | European Central Bank |
| record_format | marc |
| series2 | Working paper series / European Central Bank |
| spelling | Brousseau, Vincent Verfasser aut The functional form of yield curves by Vincent Brousseau Frankfurt am Main European Central Bank 2002 52 S. txt rdacontent n rdamedia nc rdacarrier Working paper series / European Central Bank 148 European Central Bank Working paper series 148 (DE-604)BV012681744 148 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009988894&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Brousseau, Vincent The functional form of yield curves |
| title | The functional form of yield curves |
| title_auth | The functional form of yield curves |
| title_exact_search | The functional form of yield curves |
| title_full | The functional form of yield curves by Vincent Brousseau |
| title_fullStr | The functional form of yield curves by Vincent Brousseau |
| title_full_unstemmed | The functional form of yield curves by Vincent Brousseau |
| title_short | The functional form of yield curves |
| title_sort | the functional form of yield curves |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009988894&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV012681744 |
| work_keys_str_mv | AT brousseauvincent thefunctionalformofyieldcurves |