Term-structure estimation in markets with infrequent trading

Simple item page
dc.contributor.authorCortazar, Gonzalo
dc.contributor.authorSchwartz, Eduardo S.
dc.contributor.authorNaranjo, Lorenzo F.
dc.date.accessioned2024-01-10T12:09:13Z
dc.date.available2024-01-10T12:09:13Z
dc.date.issued2007
dc.description.abstractThere are two issues that are of central importance in term-structure analysis. One is the modelling and estimation of the current term structure of spot rates. The second is the modelling and estimation of the dynamics of the term structure. These two issues have been addressed independently in the literature. The methods that have been proposed assume a sufficiently complete price data set and are generally implemented separately. However, there are serious problems when these methods are applied to markets with sparse bond prices. We develop a method for jointly estimating the current term-structure and its dynamics for markets with infrequent trading. We propose solving both issues by using a dynamic term-structure model estimated from incomplete panel-data. To achieve this, we modify the standard Kalman filter approach to deal with the missing-observation problem. In this way, we can use historic price data in a dynamic model to estimate the current term structure. With this approach we are able to obtain an estimate of the current term structure even for days with an arbitrary low number of price observations. The proposed methodology can be applied to a broad class of continuous-time term-structure models with any number of stochastic factors. To show the implementation of the approach, we estimate a three-factor generalized-Vasicek model using Chilean government bond price data. The approach, however, may be used in any market with infrequent trading, a common characteristic of many emerging markets. Copyright (c) 2007 John Wiley & Sons, Ltd.
dc.fechaingreso.objetodigital05-04-2024
dc.format.extent17 páginas
dc.fuente.origenWOS
dc.identifier.doi10.1002/ijfe.317
dc.identifier.eissn1099-1158
dc.identifier.issn1076-9307
dc.identifier.urihttps://doi.org/10.1002/ijfe.317
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/76470
dc.identifier.wosidWOS:000250233500001
dc.information.autorucIngeniería;Cortázar G;S/I;99516
dc.issue.numero4
dc.language.isoen
dc.nota.accesoContenido parcial
dc.pagina.final369
dc.pagina.inicio353
dc.publisherWILEY-BLACKWELL
dc.revistaINTERNATIONAL JOURNAL OF FINANCE & ECONOMICS
dc.rightsacceso restringido
dc.subjectterm-structure estimation
dc.subjectemerging markets
dc.subjectinfrequent trading
dc.subjectINTEREST-RATES
dc.subjectSTRUCTURE MODELS
dc.subjectCONTINGENT CLAIMS
dc.subjectCOMMODITY PRICES
dc.subjectDYNAMICS
dc.subjectINGERSOLL
dc.subjectVALUATION
dc.subjectFUTURES
dc.subjectCURVE
dc.subjectCOX
dc.subject.ods08 Decent Work and Economic Growth
dc.subject.odspa08 Trabajo decente y crecimiento económico
dc.titleTerm-structure estimation in markets with infrequent trading
dc.typeartículo
dc.volumen12
sipa.codpersvinculados99516
sipa.indexWOS
sipa.trazabilidadCarga SIPA;09-01-2024
Files
Original bundle
Now showing 1 - 1 of 1
Thumbnail Image
Name:
2024-04-05. Term-structure estimation in markets with infrequent trading.pdf
Size:
3.06 KB
Format:
Adobe Portable Document Format
Description:
Download
Collections
Artículos de revistas