Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis

DOI10.1007/S10690-011-9149-1zbMath1282.91387OpenAlexW2021174203MaRDI QIDQ1929150

Yoshiro Yamamura, Eiichi Doi, Zhu Wang, Jingsui Wang, Takeaki Kariya

Publication date: 7 January 2013

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-011-9149-1

zbMATH Keywords

term structure of interest ratesgeneralized least squaresfinancial crisisdiscount functionforward ratecross-sectional bond pricing modelJapanese Government bondsubprime shockswap rate

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

Measuring credit risk of individual corporate bonds in US energy sector ⋮ Empirically effective bond pricing model for USGBs and analysis on term structures of implied interest rates in financial crisis

Cites Work

• Interest rate models -- theory and practice. With smile, inflation and credit
• New bond pricing models with applications to Japanese data
• An implementation of the HJM model with application to Japanese interest futures
• Quantitative methods for portfolio analysis. MTV model approach
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Generalized Least Squares
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