Empirically effective bond pricing model for USGBs and analysis on term structures of implied interest rates in financial crisis

DOI10.1080/03610926.2014.901377zbMath1336.91084OpenAlexW2293887251MaRDI QIDQ2807792

Yoshiro Yamamura, Zhu Wang, Takeaki Kariya

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

zbMATH Keywords

term structure of interest ratesgeneralized least squaresfinancial crisiscross-sectional bond pricing modelswap ratestochastic discount functionUS government bond

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Generalized linear models (logistic models) (62J12) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Measuring credit risk of individual corporate bonds in US energy sector

Cites Work

• Forecasting the term structure of government bond yields
• Interest rate models -- theory and practice. With smile, inflation and credit
• Term-structure models. A graduate course
• Empirically effective bond pricing model and analysis on term structures of implied interest rates in financial crisis
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Generalized Least Squares

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