Parametric forecasts of Australian yield curves
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Shea, Gary S., 1984. "Pitfalls in Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(3), pages 253-269, September.
- Shea, Gary S, 1985. "Interest Rate Term Structure Estimation with Exponential Splines: A Note," Journal of Finance, American Finance Association, vol. 40(1), pages 319-325, March.
- Echols, Michael E. & Elliott, Jan Walter, 1976. "A Quantitative Yield Curve Model for Estimating the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(1), pages 87-114, March.
- Chambers, Donald R. & Carleton, Willard T. & Waldman, Donald W., 1984. "A New Approach to Estimation of the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 19(3), pages 233-252, September.
- McCulloch, J Huston, 1971.
"Measuring the Term Structure of Interest Rates,"
The Journal of Business, University of Chicago Press, vol. 44(1), pages 19-31, January.
- Tom Doan, "undated". "RATS program to estimate term structure with cubic splines," Statistical Software Components RTZ00019, Boston College Department of Economics.
- White, Kenneth J, 1978. "A General Computer Program for Econometric Methods-Shazam," Econometrica, Econometric Society, vol. 46(1), pages 239-240, January.
- Nelson, Charles R & Siegel, Andrew F, 1987. "Parsimonious Modeling of Yield Curves," The Journal of Business, University of Chicago Press, vol. 60(4), pages 473-489, October.
- Jack H. W. Penm & R. D. Terrell, 1982. "On The Recursive Fitting Of Subset Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(1), pages 43-59, January.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Pham, Toan M., 1998. "Estimation of the term structure of interest rates: an international perspective," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 265-283, September.
- Ram Bhar & Carl Chiarella, 1996. "Construction of Zero-Coupon Yield Curve From Coupon Bond Yield Using Australian Data," Working Paper Series 70, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- James M. Steeley, 2008.
"Testing Term Structure Estimation Methods: Evidence from the UK STRIPS Market,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1489-1512, October.
- James M. Steeley, 2008. "Testing Term Structure Estimation Methods: Evidence from the UK STRIPS Market," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(7), pages 1489-1512, October.
- Varga, Gyorgy, 2009. "Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 63(4), December.
- Varga, Gyorgy, 2009. "Teste de Modelos Estatísticos para a Estrutura a Termo no Brasil [Test of Term Structure Models for Brazil]," MPRA Paper 20832, University Library of Munich, Germany.
- Houweling, Patrick & Hoek, Jaap & Kleibergen, Frank, 2001.
"The joint estimation of term structures and credit spreads,"
Journal of Empirical Finance, Elsevier, vol. 8(3), pages 297-323, July.
- Houweling, P. & Hoek, J. & Kleibergen, F.R., 1999. "The Joint Estimation of Term Structures and Credit Spreads," Econometric Institute Research Papers EI 9916-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Patrick Houweling & Jaap Hoek & Frank Kleibergen, 1999. "The Joint Estimation of Term Structures and Credit Spreads," Tinbergen Institute Discussion Papers 99-027/4, Tinbergen Institute.
- Lin, Bing-Huei, 1999. "Fitting the term structure of interest rates for Taiwanese government bonds," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 331-352, November.
- C. Emre Alper & Aras Akdemir & Kazim Kazimov, 2004. "Estimating the Term Structure of Government Securities in Turkey," Working Papers 2004/03, Bogazici University, Department of Economics.
- Bing-Huei Lin, 2002. "Fitting term structure of interest rates using B-splines: the case of Taiwanese Government bonds," Applied Financial Economics, Taylor & Francis Journals, vol. 12(1), pages 57-75.
- Nagy, Krisztina, 2020. "Term structure estimation with missing data: Application for emerging markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 347-360.
- Julian Manzano & Jorgen Blomvall, 2004. "Positive forward rates in the maximum smoothness framework," Quantitative Finance, Taylor & Francis Journals, vol. 4(2), pages 221-232.
- Emma Berenguer-Carceles & Ricardo Gimeno & Juan M. Nave, 2012. "Estimation of the Term Structure of Interest Rates: Methodology and Applications," Working Papers 12.06, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
- Kenneth D. Garbade & Frank M. Keane, 2017. "The Treasury Market Practices Group: creation and early initiatives," Staff Reports 822, Federal Reserve Bank of New York.
- Andrea J. Heuson, 1988. "The Term Premia Relationship Implicit In The Term Structure Of Treasury Bills," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 11(1), pages 13-20, March.
- Alejandro Revéiz Hérault & Juan Manuel Julio & Silvia Juliana Mera, "undated".
"Títulos hipotecarios de los Estados Unidos: Estudios de las características del mercado e instrumentos,"
Lecturas en Finanzas
002961, Banco de la Republica de Colombia.
- Alejandro Revéiz Hérault & Roberto de Beaufort & David Merchán, "undated". "Títulos hipotecarios de los Estados Unidos: Estudios de las características del mercado e instrumentos," Lecturas en Finanzas 003646, Banco de la Republica de Colombia.
- Alejandro Revéiz Hérault & Roberto de Beaufort & David Merchán, 2002. "Títulos hipotecarios de los Estados Unidos:Estudios de las características del mercado e instrumentos," Lecturas en Finanzas 3646, Banco de la República.
- Tong, Xiaojun & He, Zhuoqiong Chong & Sun, Dongchu, 2018. "Estimating Chinese Treasury yield curves with Bayesian smoothing splines," Econometrics and Statistics, Elsevier, vol. 8(C), pages 94-124.
- Shiller, Robert J. & Huston McCulloch, J., 1990.
"The term structure of interest rates,"
Handbook of Monetary Economics, in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722,
Elsevier.
- Robert J. Shiller & J. Huston McCulloch, 1987. "The Term Structure of Interest Rates," NBER Working Papers 2341, National Bureau of Economic Research, Inc.
- Morini,S., 2003. "Estimación de la curva de tipos cupón-cero con polinomios de Legendre," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 21, pages 363-375, Agosto.
- David Knezevic & Martin Nordström & Pär Österholm, 2021.
"The relation between municipal and government bond yields in an era of unconventional monetary policy,"
Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 50(1), February.
- Knezevic, David & Nordström, Martin & Österholm, Pär, 2019. "The Relation between Municipal and Government Bond Yields in an Era of Unconventional Monetary Policy," Working Papers 2019:6, Örebro University, School of Business.
- Richard Deaves & Mahmut Parlar, 2000. "A generalized bootstrap method to determine the yield curve," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(4), pages 257-270.
More about this item
Keywords
Bond yield curve; Parametric forecasts; Vector autoregressive model;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:matcom:v:48:y:1999:i:4:p:541-549. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/mathematics-and-computers-in-simulation/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.