Interest Rate Term Structure Decomposition: An Axiomatic Structural Approach
نویسندگان
چکیده
منابع مشابه
An Axiomatic Approach to Multiresolution Signal Decomposition
Recently, we have been developing general multireso-lution signal decomposition schemes that unify traditional (linear) approaches and allow use of nonlinear ltering techniques in the decomposition. This paper summarizes our approach and provides several simple examples. Some of these examples are known in the literature (e.g., Haar pyramid and wavelet) and some of them are new (e.g., morpholog...
متن کاملAn Empirical Investigation of the Forward Interest Rate Term Structure
In this paper we study empirically the Forward Rate Curve (frc) of 5 different currencies. We confirm and extend the findings of our previous investigation of the U.S. Forward Rate Curve. In particular, the average frc follows a square-root law, with a prefactor related to the spot volatility, suggesting a Value-at-Risk like pricing. We find a striking correlation between the instantaneous frc ...
متن کاملUncertain term structure model of interest rate
Term structure models describe the evolution of the yield curve through time, without considering the influence of risk, tax, etc. Recently, uncertain processes were initialized and applied to option pricing and currency model. Under the assumption of short interest rate following uncertain processes, this paper investigates the term-structure equation. This equation is first derived for valuin...
متن کاملThe Term Structure of Interest - Rate
The Term Structure of Interest-Rate Futures Prices We derive general properties of two-factor models of the term structure of interest rates and, in particular, the process for futures prices and rates. Then, as a special case, we derive a no-arbitrage model of the term structure in which any two futures rates act as factors. The term structure shifts and tilts as the factor rates vary. The cro...
متن کاملExplaining the Forward Interest Rate Term Structure
We present compelling empirical evidence for a new interpretation of the Forward Rate Curve (frc) term structure. We find that the average frc follows a squareroot law, with a prefactor related to the spot volatility, suggesting a Value-at-Risk like pricing. We find a striking correlation between the instantaneous frc and the past spot trend over a certain time horizon. This confirms the idea o...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Applied Economics and Finance
سال: 2018
ISSN: 2332-7308,2332-7294
DOI: 10.11114/aef.v6i1.1907