Empirical studies on dynamic term structure models
Unbiased estimate of dynamic term structure models
... nominal term premia, focusing on a decomposition of the one-month forward rate for a loan maturing in four years, ...and term premium ...forward term premium is similar across estimates, with ...
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Estimating dynamic affine term structure models
... of models bond yields are linear functions of the state ...affine term structure model ...these empirical mismatchings. Similar empirical failings of CATSMs were identified by Dai and ...
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Bayesian Factor Selection in Dynamic Term Structure Models
... trivial case of misspecification raised by the omission of a significant latent factor, note that the factor analysis with a redundant (e.g. correct model factors contains four factors and the estimated model contains ...
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Prediction Bias Correction for Dynamic Term Structure Models
... A standard assumption underlying this class of factor models is the orthogonality of F t and ε t . This means that the yield curve is decomposed into a common component and an idiosyncratic component. When the ...
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Bayesian Factor Selection in Dynamic Term Structure Models
... Note that the usual procedures of model selection are hampered by the nonlinear for- mulation that contains common parameters in the de nition of the latent factors. Each decay parameter λ i aects both the associated ...
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An Empirical Research on the Long-term Dynamic Adjustment of Firms’Capital Structure in China
... Firstly, we estimate a Tobit regression model to predict the target debt ratios, and then we use the partial adjustment model to exam how financial deficit, market timing, the stock pr[r] ...
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An Empirical Analysis of Affine Term Structure Models Using the Generalized Method of Moments
... of empirical studies exists examining the term structure of interest rates exploiting either the cross-sectional or the time-series dimension of the ...the term structure ...
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Expectation Puzzles, Time-varying Risk Premia, and Dynamic Models of the Term Structure
... This exercise illustrates in a simple and intuitive way the role of state-dependent risk premiums in resolving expec- tations puzzles: factor volatilities are constant in Gaussian models[r] ...
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Rebonoto Term Structure Models
... The models presented so far belong, at least in spirit, to the ’absolute pricing ...numerous studies (see, eg, [Martellini and Priaulet (2001)] for a recent review) have shown that the first principal ...
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Empirical studies on the social structure of knowledge
... 4.4 Results Results from equation 4.1 can be found in table 4.3. The results from the econometric analysis confirm those of the exploratory data analysis: conditional on sector, patent office, publication year, ...
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Background Material for Term Structure Models
... (e) The principal payment stream has longer duration. Why? What does this say about the relative riskiness of the principal and interest payment streams? Dynamic programming (DP) is a very useful tool in financial ...
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Empirical policy functions as benchmarks for evaluation of dynamic models
... economics studies dynamic models of the firm, in which agents, period by period, optimally choose optimal decisions as a function of the current state of their ...sophisticated dynamic ...
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Empirical likelihood estimation in dynamic panel data models
... psychology studies highlight the irrationality of their human subjects, this paper seeks to further demonstrate that the literature needs to concentrate more on the analysis of truly noisy ...
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Long Memory Affine Term Structure Models
... of dynamic persistence that charac- terises certain specific aspects of the empirical distribution of nominal ...the term structure of nominal yields, forwards and holding period ...the ...
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Testable Implications of Affine Term Structure Models
... Affine term structure models have become a fundamental tool for empirical research in macro- economics and finance on the term structure of interest ...the term ...
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Quadratic Term Structure Models in Discrete Time
... has studies quadratic term structure models in discrete time, provid- ing closed form solutions for zero coupon bonds even in the presence of multiple correlated ...
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On Savings Accounts in Semimartingale Term Structure Models
... between term structure models with “nonnegative interest rates” and those generated by a Q-supermartingale ...2 studies implied savings accounts, a concept introduced by Rutkowski (1996) and ...
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GMM Estimation of Affine Term Structure Models
... rejection rates of the true null hypothesis to be close to the theoretical significance levels. By contrast, when using standard routines to estimate the asymptotic covariance matrix of the unknown parameter vector, the ...
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Long Memory Affine Term Structure Models
... their dynamic persistence and the shape of their volatility term structure, es- pecially for long ...long term yields, forwards and ...Gaussian term structure model with long ...
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Three aspects of the Swiss term structure: an empirical survey
... The term structure is an important transmitter of, and indicator for, monetary ...paper studies the Swiss term structure using monthly data from 1989 to ...time-varying term ...
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