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2010-07-06Buch DOI: 10.18452/4265
Dynamical systems forced by shot noise as a new paradigm in the interest rate modeling
dc.contributor.authorBaranovski, Alexander L.
dc.date.accessioned2017-06-16T00:10:48Z
dc.date.available2017-06-16T00:10:48Z
dc.date.created2010-07-09
dc.date.issued2010-07-06
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4917
dc.description.abstractIn this paper we give a generalized model of the interest rates term structure including Nelson-Siegel and Svensson structure. For that we introduce a continuous m-factor exponential-polynomial form of forward interest rates and demonstrate its considerably better performance in a fitting of the zero-coupon curves in comparison with the well known Nelson-Siegel and Svensson ones. In the sequel we transform the model into a dynamic model for interest rates by designing a switching dynamical system of the considerably reduced dimension n < m generating the forward rate curves in form a càdlàg function. A system is described by n-th order linear differential equation driven by a stochastic or chaotic shot noise. From fitted forward rates we specify the parameters of the switching system and discuss perspectives of our models to produce term-structure forecasts at both short and long horizons.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectforward interest rateseng
dc.subjectshot noise processeseng
dc.subjectswitching dynamical systemseng
dc.subjectchaotic Brownian subordinationeng
dc.subjectchaotic mapseng
dc.subject.ddc330 Wirtschaft
dc.titleDynamical systems forced by shot noise as a new paradigm in the interest rate modeling
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100172620
dc.identifier.doihttp://dx.doi.org/10.18452/4265
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages42
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2010
local.edoc.container-issue37
local.edoc.container-year2010
local.edoc.container-erstkatid2195055-6

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