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Autor
Gall J. (University of Debrecen, Hungary), Peeters W.
Tytuł
Empirical Tests in Discrete Time Random Field Forward Interest Rate Models
Źródło
Cracow University of Economics Discussion Papers Series (CUE DP), 2013, nr 1(16), 17 s., rys., tab., bibliogr. 14 poz.
Słowa kluczowe
Stopa procentowa, Ocena ryzyka, Badania empiryczne
Interest rate, Risk assessment, Empirical researches
Uwagi
summ.
Abstrakt
In this paper we study forward interest rates in discrete time settings. We consider a family of Heath-Jarrow-Morton type models, introduced by Gall, Pap and Zuijlen, where the forward rates corresponding to different time to maturity are driven by a random field. In this paper we focus on the behaviour of ML estimators of the parameters and related financial and econometric problems. For this we present empirical results based on simulations. These give a contribution to the theoretical financial and statistical results derived in previous papers of the author. (original abstract)
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Bibliografia
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  1. Bjork T. (1998), Arbitrage Theory in Continuous Time, Oxford University Press, Oxford New York.
  2. Gall J., G. Pap, M.C.A. van Zuijlen (2006), Forward interest rate curves in discrete time settings driven by random fields, Computers & Mathemathics with Applications, 51, pp. 387-396.
  3. Gall J., G. Pap, M.C.A. van Zuijlen (2006), Joint ML estimation of volatility, AR and market price of risk parameters of an HJM interest rate model, Technical Report No. 0606 (August 2006), Radboud University Nijmegen.
  4. Gall J., G. Pap, M.C.A. van Zuijlen (2003), Limiting connection between discrete and continuous time forward interest rate curve models, Acta Applicandae Mathematicae 78, 137-144.
  5. Gall J., G. Pap, M.C.A. van Zuijlen (2004), Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet, Journal of Applied Mathematics 4, 293-309.
  6. Gall J., G. Pap, W. Peeters (2005), Random field forward interest rate models, market price of risk and their statistics, Analli dell'Universita di Ferrara, 53, pp. 233-242.
  7. Goldstein R.S. (2000), The term structure of interest rates as a random field, The Review of Financial Studies 13, No. 2, 365-384.
  8. Heath D., R.A. Jarrow, A. Morton (1990), Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation, Journal of Financial and Quantitative Analysis 25, 419-440.
  9. Heath D., R.A. Jarrow, A. Morton (1992), Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation, Econometrica 60, 77-105.
  10. Kennedy D.P. (1994), The Term Structure of Interest Rates as a Gaussian Random Field, Mathematical Finance 4, 247-258.
  11. Musiela M., M. Rutkowski (1997), Martingale Methods in Financial Modeling, Springer-Verlag, Berlin, Heidelberg.
  12. Nelder J.A., Mead R. (1965), A simplex method for function minimization, The Computer Journal 7, 308-313.
  13. R Development Core Team (2011), R: A Language and Environment for Statistical Computing, R Foundation for Statistical Computing, Vienna, Austria, ISBN 3-900051-07-0, http://www.R-project.org.
  14. Santa-Clara P., D. Sornette (2001), The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks, The Review of Financial Studies 14(1), 149-185.
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ISSN
2081-3848
Język
eng
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