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A comprehensive analysis of the short-term interest-rate dynamics

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  • Bali, Turan G.
  • Wu, Liuren

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  • Bali, Turan G. & Wu, Liuren, 2006. "A comprehensive analysis of the short-term interest-rate dynamics," Journal of Banking & Finance, Elsevier, vol. 30(4), pages 1269-1290, April.
    • Handle: RePEc:eee:jbfina:v:30:y:2006:i:4:p:1269-1290
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    References listed on IDEAS

    as
    1. Das, Sanjiv R., 2002. "The surprise element: jumps in interest rates," Journal of Econometrics, Elsevier, vol. 106(1), pages 27-65, January.
    2. Yongmiao Hong, 2005. "Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates," The Review of Financial Studies, Society for Financial Studies, vol. 18(1), pages 37-84.
    3. Duffee, Gregory R, 1996. "Idiosyncratic Variation of Treasury Bill Yields," Journal of Finance, American Finance Association, vol. 51(2), pages 527-551, June.
    4. David A. Chapman & Neil D. Pearson, 2000. "Is the Short Rate Drift Actually Nonlinear?," Journal of Finance, American Finance Association, vol. 55(1), pages 355-388, February.
    5. Conley, Timothy G, et al, 1997. "Short-Term Interest Rates as Subordinated Diffusions," The Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 525-577.
    6. Ait-Sahalia, Yacine, 1996. "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, vol. 64(3), pages 527-560, May.
    7. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
    8. Clifford A. Ball & Walter N. Torous, 1999. "The Stochastic Volatility of Short‐Term Interest Rates: Some International Evidence," Journal of Finance, American Finance Association, vol. 54(6), pages 2339-2359, December.
    9. Monika Piazzesi, 2005. "Bond Yields and the Federal Reserve," Journal of Political Economy, University of Chicago Press, vol. 113(2), pages 311-344, April.
    10. Chan, K C, et al, 1992. "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-1227, July.
    11. Chapman, David A & Long, John B, Jr & Pearson, Neil D, 1999. "Using Proxies for the Short Rate: When Are Three Months Like an Instant?," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 763-806.
    12. Yongmiao Hong & Haitao Li & Feng Zhao, 2004. "Out-of-Sample Performance of Discrete-Time Spot Interest Rate Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 457-473, October.
    13. repec:bla:jfinan:v:59:y:2004:i:1:p:227-260 is not listed on IDEAS
    14. Andersen, Torben G. & Lund, Jesper, 1997. "Estimating continuous-time stochastic volatility models of the short-term interest rate," Journal of Econometrics, Elsevier, vol. 77(2), pages 343-377, April.
    15. Pritsker, Matt, 1998. "Nonparametric Density Estimation and Tests of Continuous Time Interest Rate Models," The Review of Financial Studies, Society for Financial Studies, vol. 11(3), pages 449-487.
    16. Stanton, Richard, 1997. "A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk," Journal of Finance, American Finance Association, vol. 52(5), pages 1973-2002, December.
    17. Darrell Duffie & Rui Kan, 1996. "A Yield‐Factor Model Of Interest Rates," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 379-406, October.
    18. repec:bla:manchs:v:67:y:1999:i:0:p:116-33 is not listed on IDEAS
    19. Ait-Sahalia, Yacine, 1996. "Testing Continuous-Time Models of the Spot Interest Rate," The Review of Financial Studies, Society for Financial Studies, vol. 9(2), pages 385-426.
    20. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    21. Brenner, Robin J. & Harjes, Richard H. & Kroner, Kenneth F., 1996. "Another Look at Models of the Short-Term Interest Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(1), pages 85-107, March.
    22. Christopher S. Jones, 2003. "Nonlinear Mean Reversion in the Short-Term Interest Rate," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 793-843, July.
    23. Christiansen, Charlotte, 2005. "Multivariate term structure models with level and heteroskedasticity effects," Journal of Banking & Finance, Elsevier, vol. 29(5), pages 1037-1057, May.
    24. Jiang, George J., 1998. "Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(4), pages 465-497, December.
    25. Carol Alexandra & Emese Lazar, 2005. "On The Continuous Limit of GARCH," ICMA Centre Discussion Papers in Finance icma-dp2005-13, Henley Business School, University of Reading.
    26. Nelson, Daniel B., 1990. "Stationarity and Persistence in the GARCH(1,1) Model," Econometric Theory, Cambridge University Press, vol. 6(3), pages 318-334, September.
    27. Longstaff, Francis A & Schwartz, Eduardo S, 1992. "Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model," Journal of Finance, American Finance Association, vol. 47(4), pages 1259-1282, September.
    28. Bali, Turan G., 2000. "Testing the Empirical Performance of Stochastic Volatility Models of the Short-Term Interest Rate," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 35(2), pages 191-215, June.
    29. Ahn, Dong-Hyun & Gao, Bin, 1999. "A Parametric Nonlinear Model of Term Structure Dynamics," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 721-762.
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    Cited by:

    1. Li, Liuling & Mizrach, Bruce, 2010. "Tail return analysis of Bear Stearns' credit default swaps," Economic Modelling, Elsevier, vol. 27(6), pages 1529-1536, November.
    2. Guglielmo Maria Caporale & Luis Alberiko Gil-Alaña, 2011. "Interest rate dynamics in Kenya," NCID Working Papers 10/2011, Navarra Center for International Development, University of Navarra.
    3. Silvio Colarossi & Andrea Zaghini, 2009. "Gradualism, Transparency and the Improved Operational Framework: A Look at Overnight Volatility Transmission," International Finance, Wiley Blackwell, vol. 12(2), pages 151-170, August.
    4. Gregory Koutmos & George Philippatos, 2007. "Asymmetric Mean Reversion in European Interest Rates: A Two-factor Model," The European Journal of Finance, Taylor & Francis Journals, vol. 13(8), pages 741-750.
    5. Kyrtsou, Catherine & Vorlow, Costas, 2009. "Modelling non-linear comovements between time series," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 200-211, March.
    6. Nowman, K.B. & Yahia, B.B.H., 2008. "Euro and FIBOR interest rates: A continuous time modelling analysis," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1029-1035, December.
    7. Hou, Ai Jun & Suardi, Sandy, 2011. "Modelling and forecasting short-term interest rate volatility: A semiparametric approach," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 692-710, September.
    8. Nowman, Khalid Ben, 2010. "Modelling the UK and Euro yield curves using the Generalized Vasicek model: Empirical results from panel data for one and two factor models," International Review of Financial Analysis, Elsevier, vol. 19(5), pages 334-341, December.
    9. Christiansen, Charlotte, 2008. "Level-ARCH short rate models with regime switching: Bivariate modeling of US and European short rates," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 925-948, December.
    10. Kanas, Angelos, 2008. "On real interest rate dynamics and regime switching," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2089-2098, October.
    11. Chew Lian Chua & Sandy Suardi & Sarantis Tsiaplias, 2011. "Predicting Short-Term Interest Rates: Does Bayesian Model Averaging Provide Forecast Improvement?," Melbourne Institute Working Paper Series wp2011n01, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne.
    12. Al-Zoubi, Haitham A., 2019. "Bond and option prices with permanent shocks," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 272-290.
    13. Chua, Chew Lian & Suardi, Sandy & Tsiaplias, Sarantis, 2013. "Predicting short-term interest rates using Bayesian model averaging: Evidence from weekly and high frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 442-455.
    14. Cai, Lili & Swanson, Norman R., 2011. "In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 743-764, September.
    15. M. Rypdal & O. L{o}vsletten, 2011. "Multifractal modeling of short-term interest rates," Papers 1111.5265, arXiv.org.
    16. Yuping Song & Chen Li & Hemin Wang & Jiayi Meng & Liang Hao, 2023. "Nonparametric Threshold Estimation for Drift Function in Jump–Diffusion Model of Interest Rate Using Asymmetric Kernel," Mathematics, MDPI, vol. 11(10), pages 1-16, May.
    17. Christiansen, Charlotte, 2010. "Mean reversion in US and international short rates," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 286-296, December.
    18. Cho-Hoi Hui & Tsz-Kin Chung & Chi-Fai Lo, 2013. "Using Interest Rate Derivative Prices to Estimate LIBOR-OIS Spread Dynamics and Systemic Funding Liquidity Shock Probabilities," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(2), pages 131-146, May.
    19. Avouyi-Dovi, S. & Horny, G. & Sevestre, P., 2013. "The dynamics of bank loans short-term interest rates in the Euro area: what lessons can we draw from the current crisis?," Working papers 462, Banque de France.
    20. Li, Minqiang, 2010. "A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 132-157, February.
    21. Frank J. Fabozzi & Francesco A. Fabozzi & Diana Tunaru, 2023. "A comparison of multi-factor term structure models for interbank rates," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 323-356, July.

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