A model to estimate the US term structure of interest rates

Detalhes bibliográficos
Autor(a) principal: Duarte Junior, Antonio Marcos
Data de Publicação: 1995
Outros Autores: Werlang, Sérgio Ribeiro da Costa
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/973
Resumo: The US term structure of interest rates plays a central role in fixed-income analysis. For example, estimating accurately the US term structure is a crucial step for those interested in analyzing Brazilian Brady bonds such as IDUs, DCBs, FLIRBs, EIs, etc. In this work we present a statistical model to estimate the US term structure of interest rates. We address in this report all major issues which drove us in the process of implementing the model developed, concentrating on important practical issues such as computational efficiency, robustness of the final implementation, the statistical properties of the final model, etc. Numerical examples are provided in order to illustrate the use of the model on a daily basis.
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spelling Duarte Junior, Antonio MarcosWerlang, Sérgio Ribeiro da CostaEscolas::EPGEFGV2008-05-13T15:44:18Z2008-05-13T15:44:18Z1995-100104-8910http://hdl.handle.net/10438/973The US term structure of interest rates plays a central role in fixed-income analysis. For example, estimating accurately the US term structure is a crucial step for those interested in analyzing Brazilian Brady bonds such as IDUs, DCBs, FLIRBs, EIs, etc. In this work we present a statistical model to estimate the US term structure of interest rates. We address in this report all major issues which drove us in the process of implementing the model developed, concentrating on important practical issues such as computational efficiency, robustness of the final implementation, the statistical properties of the final model, etc. Numerical examples are provided in order to illustrate the use of the model on a daily basis.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;273Todo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessA model to estimate the US term structure of interest ratesinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaTaxas de juros - Modelos matemáticosEconomiareponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL000064513.pdf000064513.pdfapplication/pdf679196https://repositorio.fgv.br/bitstreams/7b6f9e26-699c-486a-ab51-a497d3e593b0/downloadada93be21c51101067103fe3ec8ffe09MD51TEXT000064513.pdf.txt000064513.pdf.txtExtracted texttext/plain33747https://repositorio.fgv.br/bitstreams/94c285cf-5e84-4ff2-a492-00e2272a37f5/download1e56f64ba679b56f7495ce0dd63862a5MD56THUMBNAIL000064513.pdf.jpg000064513.pdf.jpgGenerated Thumbnailimage/jpeg2210https://repositorio.fgv.br/bitstreams/f4b15ca4-054a-4386-8ed0-8e377782f73f/downloadda173a444f115ecd9ca2ce3ad55510adMD5710438/9732023-11-09 22:43:42.918open.accessoai:repositorio.fgv.br:10438/973https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-09T22:43:42Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv A model to estimate the US term structure of interest rates
title A model to estimate the US term structure of interest rates
spellingShingle A model to estimate the US term structure of interest rates
Duarte Junior, Antonio Marcos
Economia
Taxas de juros - Modelos matemáticos
Economia
title_short A model to estimate the US term structure of interest rates
title_full A model to estimate the US term structure of interest rates
title_fullStr A model to estimate the US term structure of interest rates
title_full_unstemmed A model to estimate the US term structure of interest rates
title_sort A model to estimate the US term structure of interest rates
author Duarte Junior, Antonio Marcos
author_facet Duarte Junior, Antonio Marcos
Werlang, Sérgio Ribeiro da Costa
author_role author
author2 Werlang, Sérgio Ribeiro da Costa
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Duarte Junior, Antonio Marcos
Werlang, Sérgio Ribeiro da Costa
dc.subject.area.por.fl_str_mv Economia
topic Economia
Taxas de juros - Modelos matemáticos
Economia
dc.subject.bibliodata.por.fl_str_mv Taxas de juros - Modelos matemáticos
Economia
description The US term structure of interest rates plays a central role in fixed-income analysis. For example, estimating accurately the US term structure is a crucial step for those interested in analyzing Brazilian Brady bonds such as IDUs, DCBs, FLIRBs, EIs, etc. In this work we present a statistical model to estimate the US term structure of interest rates. We address in this report all major issues which drove us in the process of implementing the model developed, concentrating on important practical issues such as computational efficiency, robustness of the final implementation, the statistical properties of the final model, etc. Numerical examples are provided in order to illustrate the use of the model on a daily basis.
publishDate 1995
dc.date.issued.fl_str_mv 1995-10
dc.date.accessioned.fl_str_mv 2008-05-13T15:44:18Z
dc.date.available.fl_str_mv 2008-05-13T15:44:18Z
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dc.identifier.issn.none.fl_str_mv 0104-8910
identifier_str_mv 0104-8910
url http://hdl.handle.net/10438/973
dc.language.iso.fl_str_mv eng
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dc.relation.ispartofseries.por.fl_str_mv Ensaios Econômicos;273
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dc.publisher.none.fl_str_mv Escola de Pós-Graduação em Economia da FGV
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