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

DOI10.1080/03610926.2014.901377MaRDI QIDQ2807792zbMATH OpenOpenAlexFDO

Authors Takeaki Kariya, Yoshiro Yamamura, Zhu Wang

Publication date 25 May 2016

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2014.901377

zbMATH Keywords

term structure of interest ratesfinancial crisisgeneralized least squarescross-sectional bond pricing modelswap ratestochastic discount functionUS government bond

Mathematics Subject Classification ID

Generalized linear models (logistic models) (62J12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis
• Forecasting the term structure of government bond yields
• Generalized Least Squares
• Interest rate models -- theory and practice. With smile, inflation and credit
• Term-structure models. A graduate course

Cited in

(4)

• Measuring credit risk of individual corporate bonds in US energy sector
• scientific article; zbMATH DE number 7339180 (Why is no real title available?)
• Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis
• Parameter Estimation of Parabolic Type Factor Model and Empirical Study of US Treasury Bonds

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