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- W433261780 abstract "In this thesis, we estimate the term structures of interest rates and the dynamics of interest rates. T We study the available data and estimate the term structures of interest rates from bond data. The zero-coupon yield curves are used for in-sample and out-of-sample bond estimation. We discuss the discount function smoothing. Moreover, we estimate the discount factors that match exactly the observed bond prices. Some bonds are strongly overestimated or underestimated by the parametric estimators, and a solution consists in using nonparametric estimation. We then estimate the dynamics of interest rates. On the one hand, Indirect Inference allows to estimate correctly the parameters of a particular short-rate diffusion equation. We compare systematically different implementations of this methodology from simulations, which allows to evaluate and to compare finite sample statistical and numerical properties. On the other hand, we also propose a nonparametric estimation of a diffusion equation from tick observations. We specify the relation between duration and volatility. Duration clustering and overdispersion are found from simulations" @default.
- W433261780 created "2016-06-24" @default.
- W433261780 creator A5016799133 @default.
- W433261780 date "1998-01-01" @default.
- W433261780 modified "2023-09-26" @default.
- W433261780 title "L'économétrie des structures par termes des taux d'intérêts" @default.
- W433261780 hasPublicationYear "1998" @default.
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