An Empirical Test of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates in the Australian Context PDF Download

Author: Carl Chiarella
Publisher:
ISBN: 9780947069735
Category : Interest rates
Languages : en
Pages : 32

View

Book Description

Author: Neil D. Pearson
Publisher:
ISBN:
Category : Interest rates
Languages : en
Pages : 28

View

Book Description

Author: Neville John Hathaway
Publisher:
ISBN: 9780732500795
Category : Interest rates
Languages : en
Pages : 26

View

Book Description

Author: Emilio Barone
Publisher:
ISBN:
Category :
Languages : en
Pages : 27

View

Book Description
This paper tests the Cox, Ingersoll and Ross model using the prices of Italian Treasury bonds in the secondary market. The model is estimated daily for the period 30 December 1983 to 13 March 1989. The resulting term structures of interest rates are compared with those obtained using interpolation techniques (the cubic splines method). The daily estimation of the yield curves also makes it possible to analyze the changes in Treasury bond prices, determine the turning points and obtain useful indications regarding the efficiency of the secondary market and the consistency between the primary and the secondary markets.

Author: Burton Gordon Malkiel
Publisher:
ISBN:
Category : Bonds
Languages : en
Pages : 26

View

Book Description

Author: Carlo Bianchi
Publisher:
ISBN:
Category :
Languages : en
Pages : 88

View

Book Description

Author: Roger H. Brown
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 31

View

Book Description

Author: Hai Lin
Publisher:
ISBN:
Category :
Languages : en
Pages : 70

View

Book Description
This article provides a survey on term structure models designed for pricing fixed income securities and their derivatives.

Author: Petra Kühl
Publisher:
ISBN:
Category :
Languages : en
Pages : 30

View

Book Description

Author: Joseph F. Sinkey
Publisher:
ISBN:
Category :
Languages : en
Pages : 414

View

Book Description