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• W1521612236 abstract "This paper discusses the use of parametric models for the term structure of interest rates and their uses. The paper focuses on a potential problem which arises out of the use of certain models. In most cases the process of parameter estimation involves the minimization or maximization of a function (for example, least squares or maximum likelihood). In some cases this function can have a global minimum/maximum plus one or more local minima/maxima. As we progress through time this leads to a process under which parameter estimates and the fitted term structure can jump about in a way which is inconsistent with bond-price changes. Here a number of models are identified as susceptible to this sort of problem. A new descriptive model (the restricted-exponential model) is proposed under which it is proved that the likelihood and Bayesian posterior functions have unique maxima: both in a zerocoupon bond market and in a low-coupon bond market. A counterexample shows that this result can break down for larger-coupon bond markets. An alternative Bayesian estimator in combination with the restricted-exponential model is shown to be free from the problem of catastrophic jumps in all coupon-bond markets." @default.
• W1521612236 created "2016-06-24" @default.
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• W1521612236 date "1997-01-01" @default.
• W1521612236 modified "2023-09-25" @default.
• W1521612236 title "Stability of descriptive models for the term structure of interest rates." @default.
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