دورية أكاديمية
No-arbitrage one-factor term structure models in zero- or negative-lower-bound environments
| العنوان: | No-arbitrage one-factor term structure models in zero- or negative-lower-bound environments |
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| المؤلفون: | Andrea Tarelli |
| المصدر: | Investment Management & Financial Innovations, Vol 17, Iss 1, Pp 197-212 (2020) |
| بيانات النشر: | LLC "CPC "Business Perspectives", 2020. |
| سنة النشر: | 2020 |
| المجموعة: | LCC:Finance |
| مصطلحات موضوعية: | Cox-Ingersoll-Ross, forecasting, interest rates, term structure, Vasicek, zero-lower-bound, Finance, HG1-9999 |
| الوصف: | One-factor no-arbitrage term structure models where the instantaneous interest rate follows either the process proposed by Vasicek (1977) or by Cox, Ingersoll, and Ross (1985), commonly known as CIR, are parsimonious and analytically tractable. Models based on the original CIR process have the important characteristic of allowing for a time-varying conditional interest rate volatility but are undefined in negative interest rate environments. A Shifted-CIR no-arbitrage term structure model, where the instantaneous interest rate is given by the sum of a constant lower bound and a non-negative CIR-like process, allows for negative yields and benefits from similar tractability of the original CIR model. Based on the U.S. and German yield curve data, the Vasicek and Shifted-CIR specifications, both considering constant and time-varying risk premia, are compared in terms of information criteria and forecasting ability. Information criteria prefer the Shifted-CIR specification to models based on the Vasicek process. It also provides similar or better in-sample and out-of-sample forecasting ability of future yield curve movements. Introducing a time variation of the interest rate risk premium in no-arbitrage one-factor term structure models is instead not recommended, as it provides worse information criteria and forecasting performance. |
| نوع الوثيقة: | article |
| وصف الملف: | electronic resource |
| اللغة: | English |
| تدمد: | 1810-4967 1812-9358 |
| العلاقة: | https://businessperspectives.org/images/pdf/applications/publishing/templates/article/assets/13270/IMFI_2020_01_Tarelli.pdfTest; https://doaj.org/toc/1810-4967Test; https://doaj.org/toc/1812-9358Test |
| DOI: | 10.21511/imfi.17(1).2020.18 |
| الوصول الحر: | https://doaj.org/article/5939fb01b1d349a29abe0c8675308632Test |
| رقم الانضمام: | edsdoj.5939fb01b1d349a29abe0c8675308632 |
| قاعدة البيانات: | Directory of Open Access Journals |
Full Text Finder | تدمد: | 18104967 18129358 |
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| DOI: | 10.21511/imfi.17(1).2020.18 |