Matches in SemOpenAlex for { <https://semopenalex.org/work/W3150804734> ?p ?o ?g. }
Showing items 1 to 81 of
81
with 100 items per page.
- W3150804734 abstract "This paper considers the dynamics for interest rate processes within a multi-factor Heath, Jarrow and Morton (1992) specification. Despite the flexibility of and the notable advances in theoretical research about the HJM models, the number of empirical studies is still inadequate. This paucity is principally because of the difficulties in estimating models in this class, which are not only high-dimensional, but also nonlinear and involve latent state variables. This paper treats the estimation of a fairly broad class of HJM models as a nonlinear filtering problem, and adopts the local linearization filter of Jimenez and Ozaki (2003), which is known to have some desirable statistical and numerical features, to estimate the model via the maximum likelihood method. The estimator is then applied to the interbank offered-rates of the U.S, U.K, Australian and Japanese markets. The two-factor model, with the factors being the level and the slope effect, is found to be a reasonable choice for all of the markets. However, the contribution of each factor towards overall variability of the interest rates and the financial reward each factor claims differ considerably from one market to another." @default.
- W3150804734 created "2021-04-13" @default.
- W3150804734 creator A5002129110 @default.
- W3150804734 creator A5015860690 @default.
- W3150804734 creator A5063359908 @default.
- W3150804734 date "2005-01-01" @default.
- W3150804734 modified "2023-09-26" @default.
- W3150804734 title "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach" @default.
- W3150804734 hasPublicationYear "2005" @default.
- W3150804734 type Work @default.
- W3150804734 sameAs 3150804734 @default.
- W3150804734 citedByCount "0" @default.
- W3150804734 crossrefType "posted-content" @default.
- W3150804734 hasAuthorship W3150804734A5002129110 @default.
- W3150804734 hasAuthorship W3150804734A5015860690 @default.
- W3150804734 hasAuthorship W3150804734A5063359908 @default.
- W3150804734 hasConcept C10138342 @default.
- W3150804734 hasConcept C105795698 @default.
- W3150804734 hasConcept C10879293 @default.
- W3150804734 hasConcept C11210021 @default.
- W3150804734 hasConcept C120310109 @default.
- W3150804734 hasConcept C121332964 @default.
- W3150804734 hasConcept C149782125 @default.
- W3150804734 hasConcept C154945302 @default.
- W3150804734 hasConcept C158622935 @default.
- W3150804734 hasConcept C162324750 @default.
- W3150804734 hasConcept C175025494 @default.
- W3150804734 hasConcept C185429906 @default.
- W3150804734 hasConcept C187614132 @default.
- W3150804734 hasConcept C2777212361 @default.
- W3150804734 hasConcept C33923547 @default.
- W3150804734 hasConcept C41008148 @default.
- W3150804734 hasConcept C62520636 @default.
- W3150804734 hasConcept C69738904 @default.
- W3150804734 hasConcept C91602232 @default.
- W3150804734 hasConceptScore W3150804734C10138342 @default.
- W3150804734 hasConceptScore W3150804734C105795698 @default.
- W3150804734 hasConceptScore W3150804734C10879293 @default.
- W3150804734 hasConceptScore W3150804734C11210021 @default.
- W3150804734 hasConceptScore W3150804734C120310109 @default.
- W3150804734 hasConceptScore W3150804734C121332964 @default.
- W3150804734 hasConceptScore W3150804734C149782125 @default.
- W3150804734 hasConceptScore W3150804734C154945302 @default.
- W3150804734 hasConceptScore W3150804734C158622935 @default.
- W3150804734 hasConceptScore W3150804734C162324750 @default.
- W3150804734 hasConceptScore W3150804734C175025494 @default.
- W3150804734 hasConceptScore W3150804734C185429906 @default.
- W3150804734 hasConceptScore W3150804734C187614132 @default.
- W3150804734 hasConceptScore W3150804734C2777212361 @default.
- W3150804734 hasConceptScore W3150804734C33923547 @default.
- W3150804734 hasConceptScore W3150804734C41008148 @default.
- W3150804734 hasConceptScore W3150804734C62520636 @default.
- W3150804734 hasConceptScore W3150804734C69738904 @default.
- W3150804734 hasConceptScore W3150804734C91602232 @default.
- W3150804734 hasLocation W31508047341 @default.
- W3150804734 hasOpenAccess W3150804734 @default.
- W3150804734 hasPrimaryLocation W31508047341 @default.
- W3150804734 hasRelatedWork W1989918613 @default.
- W3150804734 hasRelatedWork W2007388669 @default.
- W3150804734 hasRelatedWork W2007411408 @default.
- W3150804734 hasRelatedWork W2013173708 @default.
- W3150804734 hasRelatedWork W2033788372 @default.
- W3150804734 hasRelatedWork W2035565035 @default.
- W3150804734 hasRelatedWork W2045388541 @default.
- W3150804734 hasRelatedWork W2048775905 @default.
- W3150804734 hasRelatedWork W2136813077 @default.
- W3150804734 hasRelatedWork W2384520735 @default.
- W3150804734 hasRelatedWork W2480998254 @default.
- W3150804734 hasRelatedWork W3119709879 @default.
- W3150804734 hasRelatedWork W3121385131 @default.
- W3150804734 hasRelatedWork W3122927336 @default.
- W3150804734 hasRelatedWork W3123010742 @default.
- W3150804734 hasRelatedWork W3123153344 @default.
- W3150804734 hasRelatedWork W3124768776 @default.
- W3150804734 hasRelatedWork W3125676412 @default.
- W3150804734 hasRelatedWork W3145938320 @default.
- W3150804734 hasRelatedWork W2188392671 @default.
- W3150804734 isParatext "false" @default.
- W3150804734 isRetracted "false" @default.
- W3150804734 magId "3150804734" @default.
- W3150804734 workType "article" @default.