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01610cas a2200241 a 4500 |
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AALejournalIMF006838 |
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|c 5.00 USD
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|z 9781455209583
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|a 1018-5941
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|a BD-DhAAL
|c BD-DhAAL
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|a International Monetary Fund.
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|a On the Estimation of Term Structure Models and An Application to the United States.
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|a Washington, D.C. :
|b International Monetary Fund,
|c 2010.
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|a 1 online resource (62 pages)
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|a IMF Working Papers
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.
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|a Mode of access: Internet
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|a IMF Working Papers; Working Paper ;
|v No. 2010/258
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/2010/258/001.2010.issue-258-en.xml
|z IMF e-Library
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