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dc.contributor.authorGuo, Mengmengen
dc.contributor.authorHärdle, Wolfgang Karlen
dc.date.accessioned2010-06-16-
dc.date.accessioned2010-08-26T11:56:29Z-
dc.date.available2010-08-26T11:56:29Z-
dc.date.issued2010-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2010,029en
dc.subject.jelE44en
dc.subject.jelG12en
dc.subject.jelG32en
dc.subject.jelN22en
dc.subject.ddc330en
dc.subject.keywordCIR modelen
dc.subject.keywordInterest rateen
dc.subject.keywordLocal parametric approachen
dc.subject.keywordTime homogeneous intervalen
dc.subject.keywordAdaptive statistical techniquesen
dc.subject.stwZinsstrukturtheorieen
dc.subject.stwFaktorenanalyseen
dc.subject.stwSchätztheorieen
dc.subject.stwStrukturbruchen
dc.subject.stwTheorieen
dc.subject.stwSchätzungen
dc.subject.stwSchatzpapieren
dc.subject.stwSaint Louis (Mo.)en
dc.titleAdaptive interest rate modelling-
dc.type|aWorking Paperen
dc.identifier.ppn628584741en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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