A Semi-Parametric Factor Model for Interest Rates

Ghysels, Eric; Ng, Serena

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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