Prediction of individual bond prices via a dynamic bond pricing model: application to Japanese Government bond price data

DOI10.1023/B:FEJM.0000039875.28149.6DzbMATH Open1079.91522OpenAlexW1980457503MaRDI QIDQ702234FDOQ702234

Authors: Hiroshi Tsuda 

Publication date: 17 January 2005

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

Full work available at URL: https://doi.org/10.1023/b:fejm.0000039875.28149.6d

Recommendations

• New bond pricing models with applications to Japanese data
• Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis
• Estimation of a nonparametric model for bond prices from cross-section and time series information
• CB--time dependent Markov model for pricing convertible bonds
• CB - time dependent Markov model for pricing convertible bonds

zbMATH Keywords

Kalman filterBayesian state space representationdynamic bond pricing modelrandom cash-flow discount function

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cited In (4)

• On the effect of Bank of Japan's outright purchase on the JGB yield curve
• New bond pricing models with applications to Japanese data
• Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis
• Empirically effective bond pricing model for USGBs and analysis on term structures of implied interest rates in financial crisis

This page was built for publication: Prediction of individual bond prices via a dynamic bond pricing model: application to Japanese Government bond price data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q702234)