Empirically effective bond pricing model for USGBs and analysis on term structures of implied interest rates in financial crisis
DOI10.1080/03610926.2014.901377zbMATH Open1336.91084OpenAlexW2293887251MaRDI QIDQ2807792FDOQ2807792
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
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- scientific article; zbMATH DE number 852306
term structure of interest ratesfinancial crisisgeneralized least squarescross-sectional bond pricing modelswap ratestochastic discount functionUS government bond
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)
Cites Work
- Forecasting the term structure of government bond yields
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Interest rate models -- theory and practice. With smile, inflation and credit
- Generalized Least Squares
- Term-structure models. A graduate course
- Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis
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