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2010-05-26Buch DOI: 10.18452/4257
Adaptive Interest Rate Modelling
dc.contributor.authorGuo, Mengmeng
dc.contributor.authorHärdle, Wolfgang
dc.date.accessioned2017-06-16T00:09:03Z
dc.date.available2017-06-16T00:09:03Z
dc.date.created2010-05-27
dc.date.issued2010-05-26none
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4909
dc.description.abstractA good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates one factor models with time varying parameters. In this paper, the local parameter approach is introduced to adaptively estimate interest rate models. This method can be generally used in time varying coefficient parametric models. It is used not only to detect the jumps and structural breaks, but also to choose the largest time homogeneous interval for each time point, such that in this interval, the coefficients are statistically constant. We use this adaptive approach and apply it in simulations and real data. Using the three month treasure bill rate as a proxy of the short rate, we find that our method can detect both structural changes and stable intervals for homogeneous modelling of the interest rate process. In more unstable macroeconomy periods, the time homogeneous interval can not last long. Furthermore, our approach performs well in long horizon forecasting.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.relation.ispartofseriesSonderforschungsbereich 649: Ökonomisches Risiko - 29, SFB 649 Papers, ISSN:1860-5664
dc.subjectCIR modeleng
dc.subjectInterest rateeng
dc.subjectLocal parametric approacheng
dc.subjectTime homogeneous intervaleng
dc.subjectAdaptive statistical techniqueseng
dc.subject.ddc330 Wirtschaft
dc.titleAdaptive Interest Rate Modelling
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100111425
dc.identifier.doihttp://dx.doi.org/10.18452/4257
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.container-issn1860-5664
local.edoc.pages30
local.z-edoc.journal-periodikumAusgabe29,
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2010
local.edoc.container-issue29
local.edoc.container-year2010
local.edoc.container-erstkatid2195055-6

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