IDEAS home Printed from https://ideas.repec.org/a/wsi/ijitdm/v05y2006i03ns0219622006002064.html
   My bibliography  Save this article

Yield Curve Estimation In The Illiquid Market: Framework, Models And Empirical Study

Author

Listed:
  • CHI XIE

    (College of Business Management, Hunan University, Changsha, Hunan, 410082, China)

  • HUI CHEN

    (College of Business Management, Hunan University, Changsha, Hunan, 410082, China)

  • XIANG YU

    (College of Business Management, Hunan University, Changsha, Hunan, 410082, China)

Abstract

In this paper, we propose a framework to estimate the yield curve in the illiquid market. Within this framework, seven different curve-fitting models are compared from four aspects with the trading data of government bonds listed in the Shanghai Stock Exchange (SSE) of China. We find that the exponential spline model is optimal for this market. The characteristics and reasons underlying SSE interest rate fluctuations in the past two years are also analyzed.

Suggested Citation

  • Chi Xie & Hui Chen & Xiang Yu, 2006. "Yield Curve Estimation In The Illiquid Market: Framework, Models And Empirical Study," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 5(03), pages 467-481.
    • Handle: RePEc:wsi:ijitdm:v:05:y:2006:i:03:n:s0219622006002064
    DOI: 10.1142/S0219622006002064
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219622006002064
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219622006002064?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. repec:rmk:rmkbae:v:9:y:mics:i:1:p:9(1 is not listed on IDEAS
    2. Fatma Chakroun & Fathi Abid, 2014. "A Methodology to Estimate the Interest Rate Yield Curve in Illiquid Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 13(3), pages 305-333, December.

    Corrections

    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:wsi:ijitdm:v:05:y:2006:i:03:n:s0219622006002064. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/ijitdm/ijitdm.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.