A Semi-Parametric Factor Model for Interest Rates
dc.contributor.author | Ghysels, Eric | |
dc.contributor.author | Ng, Serena | |
dc.date.accessioned | 2008-01-24T14:27:46Z | |
dc.date.available | 2008-01-24T14:27:46Z | |
dc.date.issued | 1996 | |
dc.identifier.uri | http://hdl.handle.net/1866/2014 | |
dc.format.extent | 1428330 bytes | |
dc.format.mimetype | application/pdf | |
dc.publisher | Université de Montréal. Département de sciences économiques. | fr |
dc.subject | [JEL:C22] Mathematical and Quantitative Methods - Econometric Methods: Single Equation Models; Single Variables - Time-Series Models | en |
dc.subject | [JEL:C32] Mathematical and Quantitative Methods - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors - Time-Series Models | en |
dc.subject | [JEL:E40] Macroeconomics and Monetary Economics - Money and Interest Rates - General | en |
dc.subject | [JEL:E43] Macroeconomics and Monetary Economics - Money and Interest Rates - Determination of Interest Rates; Term Structure of Interest Rates | en |
dc.subject | [JEL:C22] Mathématiques et méthodes quantitatives - Méthodes en économétrie; modèles à équation unique - Modèles de séries chronologiques | fr |
dc.subject | [JEL:C32] Mathématiques et méthodes quantitatives - Méthodes en économétrie; modèles à équations multiples et simultanées - Modèles de séries chronologiques | fr |
dc.subject | [JEL:E40] Macroéconomie et économie monétaire - Monnaie et taux d'intérêt - Généralités | fr |
dc.subject | [JEL:E43] Macroéconomie et économie monétaire - Monnaie et taux d'intérêt - Détermination et structure à terme des taux d'intérêt | fr |
dc.title | A Semi-Parametric Factor Model for Interest Rates | |
dc.type | Article | |
dc.contributor.affiliation | Université de Montréal. Faculté des arts et des sciences. Département de sciences économiques | |
dcterms.abstract | Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor models of interest rates but proposes a semi-parametric procedure to model interest rates. | |
dcterms.isPartOf | urn:ISSN:0709-9231 | |
UdeM.VersionRioxx | Version publiée / Version of Record | |
oaire.citationTitle | Cahier de recherche | |
oaire.citationIssue | 9612 |
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