JOURNAL BROWSE
Search
Advanced SearchSearch Tips
Term Structure Estimation Using Official Rate
facebook(new window)  Pirnt(new window) E-mail(new window) Excel Download
 Title & Authors
Term Structure Estimation Using Official Rate
Rhee, Joon Hee; Kim, Yoon Tae;
  PDF(new window)
 Abstract
The fundamental tenn structure model is based on the modelling of the short rate. It is well-known that the short rate depends on the interest rate policy of monetary authorities, especially on the official rate. Babbs and Webber(1994) modelled the tenn structure of interest rates using the official rate. They assume that the official rate follows a jump process. This reflects that the official rate infrequently changes. In this paper, we test this official tenn structure model and compare the jump-diffusion model with the pure diffusion model.
 Keywords
Change of Measures;Jump- Diffusion Model;Affine Tenn Structure Model;Brownian Motion;Poisson Process.;
 Language
Korean
 Cited by
 References
1.
FORC, 97/80, 1997.

2.
FORC, 94/49, 1994.

3.
FORC 95/61, 1995.

4.
NBER Working paper, 4347.4, 1993.

5.
Journal of Financial and Quantitative Analysis, 1986. vol.18. pp.53-65 crossref(new window)

6.
Journal of Finance, 1985. vol.XL. pp.155-173

7.
Review of Financial Studies, 1996. vol.9. pp.69-107 crossref(new window)

8.
Journal of Fixed Income, 1996. pp.78-86

9.
Journal of Financial and Quantitative Analysis, 1981. vol.XVI. pp.127-139

10.
Ecometrica, 1985. vol.53. pp.385-407

11.
Journal of Banking and Finance, 1996. vol.20. pp.1091-1119

12.
Mathematical Finance, 1996. pp.379-406

13.
Journal of Econometrics, 1987. vol.35. pp.143-159 crossref(new window)

14.
Journal of Economic Dynamics and Control, 1988. vol.12. pp.385-423 crossref(new window)

15.
Time Series Analysis, 1994.

16.
Interest Rate Modelling, 2000.

17.
FORC, 94/48, 1994.