Articlegreen1998

A Comparative Analysis of Several Popular Term Structure Estimation Models

24 citations0/0 files storedThe Journal of Fixed Income

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Stochastic processes and financial applications Financial Markets and Investment Strategies Credit Risk and Financial Regulations

Abstract

Fixed-income analysis begins with the term structure. Issues arise as to the methodology for estimating a term structure. Practitioners seem to want a method that is easy to implement, reliable, accurate, and appropriate for their particular niche (e.g., hedging, mortgage-backed, trading, or valuation). Our analysis addresses estimation methodology by using simulations to examine six methods of deriving a cross-sectional discount function.

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2008Term Structure of Interest Rates 2008Testing Term Structure Estimation Methods: Evidence from the UK STRIPS Market 2010Term structure of volatilities and yield curve estimation methodology

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