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

DOI10.1007/S10690-011-9149-1MaRDI QIDQ1929150zbMATH OpenOpenAlexFDO

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

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

cross-sectional bond pricing modeldiscount functionfinancial crisisforward rategeneralized least squaresJapanese Government bondsubprime shockswap rateterm structure of interest rates

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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Cites work

• An implementation of the HJM model with application to Japanese interest futures
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Generalized Least Squares
• scientific article; zbMATH DE number 48635 (Why is no real title available?)
• scientific article; zbMATH DE number 1098829 (Why is no real title available?)
• Interest rate models -- theory and practice. With smile, inflation and credit
• New bond pricing models with applications to Japanese data
• Quantitative methods for portfolio analysis. MTV model approach

Cited in

(6)

• New bond pricing models with applications to Japanese data
• Measuring credit risk of individual corporate bonds in US energy sector
• Term structure models during the global financial crisis: a parsimonious text mining approach
• Empirically effective bond pricing model for USGBs and analysis on term structures of implied interest rates in financial crisis
• scientific article; zbMATH DE number 7339180 (Why is no real title available?)
• Prediction of individual bond prices via a dynamic bond pricing model: application to Japanese Government bond price data

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