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• W2316448595 abstract "ABSTRACT This paper discusses the use of parametric models for description of the term structure of interest rates and their uses. We extend earlier work of Cairns (1998), Chaplin (1998) and Feldman et al . (1998), by presenting new theoretical results and also by demonstrating that the same model can be applied to countries other than the United Kingdom. First, we prove that the process of fitting a yield curve to price data has a unique optimal solution in both zero-coupon-bond and low-coupon-bond markets. Furthermore, an alternative method of curve fitting to those proposed previously is shown to have a unique solution in all markets. The restricted-exponential model has previously been applied to U.K. data (Cairns, 1998). Here, we consider its wider application in European bond markets. In particular, we analyse German market data and conclude that the same model applies equally well to both countries." @default.
• W2316448595 created "2016-06-24" @default.
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• W2316448595 date "2001-08-01" @default.
• W2316448595 modified "2023-10-12" @default.
• W2316448595 title "Stability of Models for the Term Structure of Interest Rates with Application to German Market Data" @default.
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• W2316448595 doi "https://doi.org/10.1017/s1357321700002439" @default.
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