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Estimation de modèles de la structure par terme des taux d'intérêt

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Listed:
  • Laurence Broze
  • Olivier Scaillet
  • Jean-Michel Zakoïan
  • Claude Jessua

Abstract

[fre] Nous examinons les différentes possibilités d'estimation d'un des outils les plus utilisés en matière de gestion de risque de taux d'intérêt : la structure par terme des taux d'intérêt. Nous nous attachons plus particulièrement à la présenta­tion des méthodes fondées sur des simulations permettant d'estimer les paramè­tres de modèles en temps continu. [eng] We examine several estimation methods of one of the most useful instruments in interest rate risk management : the term structure of interest rates. We present mainly simulation-based methods allowing for parametric estimation of continuous time models.

Suggested Citation

  • Laurence Broze & Olivier Scaillet & Jean-Michel Zakoïan & Claude Jessua, 1996. "Estimation de modèles de la structure par terme des taux d'intérêt," Revue Économique, Programme National Persée, vol. 47(3), pages 511-519.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1996_num_47_3_409787
    DOI: 10.3406/reco.1996.409787
    Note: DOI:10.3406/reco.1996.409787
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    References listed on IDEAS

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    1. Broze, Laurence & Scaillet, Olivier & Zakoian, Jean-Michel, 1995. "Testing for continuous-time models of the short-term interest rate," Journal of Empirical Finance, Elsevier, vol. 2(3), pages 199-223, September.
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