Interest Rate Modeling and Tools of Financial Econometrics

• Autorzy: Krzysztof Jajuga
• Języki publikacji: EN

Abstrakty

EN

One of the most challenging applied tasks faced by financial econometric methods is modeling interest rates. This paper gives some introductory and synthetic remarks as far as the modeling interest rates is concerned.(fragment of text)

Słowa kluczowe

EN

Econometric models; Econometrics; Econometric modeling; Interest rate

PL

Modele ekonometryczne; Ekonometria; Modelowanie ekonometryczne; Stopa procentowa

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2006
• Tom: 7
• Strony: 7--13

Twórcy

autor

Krzysztof Jajuga

• Wrocław University of Economics, Poland

Bibliografia

• Chen, L. (1996), Stochastic mean and stochastic volatility - a three factor model of the term structure of interest rates and its application in derivatives pricing and risk management, Financial Markets, Institutions and Instruments, 5, pp. 1-87.
• Engle, R. F. (1982), Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation, Econometrica 50, pp. 987-1008.
• Heath, R. A., Jarrow, R. A., Morton A. (1992), Bond pricing and the term structure of interest rates: a new methodology for contingent claim valuations, Econometrica, 60, pp. 77-105.
• Martinelli, L., Priaulet, P., Priaulet, S. (2003), Fixed income securities, Wiley, New York.
• Svensson, L. (1994), Estimating and interpreting forward interest rates: Sweden 1992-94, CEPR Discussion Paper 1051.