- 期刊
Collapse of Dimensionality in the Interest Rate Term Structure
並列摘要
This note addresses some of the criticisms by Ingersoll (2008) on Pan and Wu (2006) and elaborates on the fundamental issues that must be addressed in analyzing interest rate term structures.
參考文獻
Barry, J. Y.,Ayres, H. F.(1980).A theory of the U.S. treasury market equilibrium.Management Science.26(6),539-569.
Heath, D.,Jarrow, R.,Morton, A.(1992).Bond pricing and the term structure of interest rates: A new technology for contingent claims valuation.Econometrica.60(1),77-105.
Ingersoll, J.(2008).Positive interest rates and yields: Additional serious considerations.Advances in Quantitative Analysis of Finance and Accounting.7(9)
Nelson, C. R.,Siegel, A. F.(1987).Parsimonious modeling of yield curves.Journal of Business.60(4),473-489.
Pan, E.(1998).Collpase of detail.International Journal of Theoretical and Applied Finance.1(2),247-282.
延伸閱讀
- Xu, C. (2022). Monetary Policy Shock and Debt Structure Heterogeneity. World Scientific Research Journal, 8(8), 102-122. https://doi.org/10.6911/WSRJ.202208_8(8).0016
- 簡雨柔（2007）。Forecasting the Term Structure of Interest Rates with Liquidity〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2007.00295
- 陳玫靜（2005）。An empirical analysis the effect of interest-rate variance on term structure of interest rate〔碩士論文，淡江大學〕。華藝線上圖書館。https://doi.org/10.6846/TKU.2005.00514
- 龍思筠（2007）。An Empirical Comparison of Alternative Models of The Short-Term Interest Rate Dynamics.〔碩士論文，淡江大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0002-0106200701411300
- 周建新、陳振宇（2007）。Estimating the Term Structure of Interest Rates with Maximum Smoothness and Accuracy。中山管理評論，15(2)，323-356。https://doi.org/10.6160/2007.06.03