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Sobre la Estimación de Primas por Plazo dentro de la Estructura Temporal de Tipos de Interes

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  • Rafael Flores de Frutos

    (Instituto Complutense de Análisis Económico. Universidad Complutense Campus de Somosaguas. Madrid.)

Abstract

En este trabajo se ponen de manifiesto las limitaciones de los procedimientos habituales para estudiar las primas por plazo dentro de la estructura temporal de tipos de interés. Con objeto de superar estas limitaciones, se propone el uso de modelos ARMA multivariantes. También se lleva acabo un análisis empírico de las primas por plazo en el mercado interbancario español.

Suggested Citation

  • Rafael Flores de Frutos, 1993. "Sobre la Estimación de Primas por Plazo dentro de la Estructura Temporal de Tipos de Interes," Documentos de Trabajo del ICAE 9302, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    • Handle: RePEc:ucm:doicae:9302
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    References listed on IDEAS

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