Loading...
Please wait, while we are loading the content...
Empirically effective bond pricing model for USGBs and analysis on term structures of implied interest rates in financial crisis
| Content Provider | Semantic Scholar |
|---|---|
| Author | Kariya, Takeaki Yamamura, Yoshiro Wang, Zhu |
| Copyright Year | 2012 |
| Abstract | ABSTRACT This paper makes a comprehensive empirical analysis on US Government bond (USGB) prices for a period of 60 months, including the financial crisis in 2008. The model is a cross-sectional model with stochastic discount function that takes into account bond attributes of coupon rate and maturity and that simultaneously values individual fixed-coupon bonds. First, we briefly clarify the theoretical relation between our stochastic discount function approach and the interest rate approach in mathematical finance. Then we propose two specific and effective models. Third, the derived yields are compared to swap rates to see the validity of the models. |
| Starting Page | 1580 |
| Ending Page | 1606 |
| Page Count | 27 |
| File Format | PDF HTM / HTML |
| DOI | 10.1080/03610926.2014.901377 |
| Volume Number | 45 |
| Alternate Webpage(s) | http://stat.rutgers.edu/joomlatools-files/docman-files/Kariya.pdf |
| Alternate Webpage(s) | http://www.stat.rutgers.edu/joomlatools-files/docman-files/Kariya.pdf |
| Alternate Webpage(s) | https://doi.org/10.1080/03610926.2014.901377 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
