Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/39290
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dc.contributor.authorGuo, Mengmengen_US
dc.contributor.authorHärdle, Wolfgang Karlen_US
dc.date.accessioned2010-06-16en_US
dc.date.accessioned2010-08-26T11:56:29Z-
dc.date.available2010-08-26T11:56:29Z-
dc.date.issued2010en_US
dc.identifier.urihttp://hdl.handle.net/10419/39290-
dc.description.abstractA good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates one factor models with time varying parameters. In this paper, the local parameter approach is introduced to adaptively estimate interest rate models. This method can be generally used in time varying coefficient parametric models. It is used not only to detect the jumps and structural breaks, but also to choose the largest time homogeneous interval for each time point, such that in this interval, the coefficients are statistically constant. We use this adaptive approach and apply it in simulations and real data. Using the three month treasure bill rate as a proxy of the short rate, we nd that our method can detect both structural changes and stable intervals for homogeneous modelling of the interest rate process. In more unstable macroeconomy periods, the time homogeneous interval can not last long. Furthermore, our approach performs well in long horizon forecasting.en_US
dc.language.isoengen_US
dc.publisher|aSFB 649, Economic Risk |cBerlinen_US
dc.relation.ispartofseries|aSFB 649 discussion paper |x2010,029en_US
dc.subject.jelE44en_US
dc.subject.jelG12en_US
dc.subject.jelG32en_US
dc.subject.jelN22en_US
dc.subject.ddc330en_US
dc.subject.keywordCIR modelen_US
dc.subject.keywordInterest rateen_US
dc.subject.keywordLocal parametric approachen_US
dc.subject.keywordTime homogeneous intervalen_US
dc.subject.keywordAdaptive statistical techniquesen_US
dc.subject.stwZinsstrukturtheorieen_US
dc.subject.stwFaktorenanalyseen_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwStrukturbruchen_US
dc.subject.stwTheorieen_US
dc.subject.stwSchätzungen_US
dc.subject.stwSchatzpapieren_US
dc.subject.stwSaint Louis (Mo.)en_US
dc.titleAdaptive interest rate modellingen_US
dc.type|aWorking Paperen_US
dc.identifier.ppn628584741en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-

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