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Review of Derivatives Research - It is well known that zero coupon rates are not observable variables. Their estimation process may be cumbersome and time consuming. We explore the extent to which... 相似文献
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The aim of this paper is the analysis of the yield spreads between Treasury and non–Treasury Spanish fixed income assets and its relationship with the term to maturity. We find a downward sloping term structure of yield spreads for investment–grade bonds that seems to be contrary to the 'crisis at maturity' theory. However, we claim that this outcome is caused mainly by the effect of liquidity on yield spreads. Once the effect of liquidity and other factors are removed we find that there is a positive relationship between default premiums and term to maturity. That result is now consistent with the existing literature. 相似文献
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The term structure of instantaneous volatilities (TSV) of forward rates for different monetary areas (euro, U.S. dollar and British pound) is examined using daily data from at‐the‐money cap markets. During the sample period (two and a half years), the TSV experienced severe changes both in level and shape. Two new functional forms of the instantaneous volatility of forward rates are proposed and tested within the LIBOR Market Model framework. Two other alternatives are calibrated and used as benchmarks to test the accuracy of the new models. The two new models provide more flexibility to adequately calibrate the observed cap prices, although this improved accuracy in replicating cap prices produces some instability in parameter estimates. © 2009 Wiley Periodicals, Inc. Jrl Fut Mark 29:653–683, 2009 相似文献
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Eva Ferreira M. Isabel Martínez Serna Eliseo Navarro Gonzalo Rubio 《European Financial Management》2008,14(2):206-221
According to Harvey (1988) , the forecasting ability of the term spread on economic growth is due to the fact that interest rates reflect investors' expectations about the future economic situation when deciding their plans for consumption and investment. Past literature has used ex post data on output or consumption growth as proxies for their expected value. In this paper, we employ a direct measure of economic agents' expectations, the Economic Sentiment Indicator elaborated by the European Commission, to test this hypothesis. Our results indicate that a linear combination of European yield spreads explains a surprising 93.7\% of the variability of the Economic Sentiment Indicator. This ability of yield spreads to capture economic agent expectations may be the actual reason for the predictive power of yield spreads about future business cycle. 相似文献
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Antonio Díaz María de la O Gonzlez Eliseo Navarro Frank S. Skinner 《Journal of Banking & Finance》2009,33(10):1874
This paper tests the effectiveness of contingent immunization, a stop loss strategy that allows portfolio managers to take advantage of their ability to forecast interest rate movements as long as their forecasts are successful, but switches to a pure immunization strategy should the stop loss limit be encountered. This study uses actual daily transactions in the Spanish Treasury market covering the period 1993–2003 and uses performance measures that accounts for skewness and kurtosis as well as mean variance. The main result of this paper is that contingent immunization provides excellent performance despite its simplicity. 相似文献
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Pablo Emilio Escamilla García María Elena Tavera Cortés Raúl Junior Sandoval Gómez Edmar Salinas Callejas Horacio Eliseo Alvarado Raya 《Applied economics》2016,48(59):5761-5771
This article highlights the main aspects related to energy generation from biogas in a controlled landfill of Mexico City in order to determine profits and environmental benefits. The designed structures and public policies to provide waste management services in Mexico City have been exceeded. A significant increase in demand has led the government of Mexico City to base public services on rudimentary techniques using obsolete equipment. The modernization of waste disposal facilities and the diversification of services linked to waste treatment can offer several business opportunities to optimize energy generation from solid wastes. The use of landfills to dispose large amounts of waste enables the energy generation from biogas. The energy generated can diversify the electricity market and provide economic benefits to landfills managers to cover operational costs. 相似文献
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This paper estimates and tests a two-factor model of the term structure of interest rates based on the methodology developed
by Elton, Gruber and Michaelly (1990) in an APT context. The model is then enlarged to allow its use for interest rate risk
measurement through a duration vector. The results of the model using in-sample data are consistent with those obtained by
Principal Components Analysis to explain the term structure behaviour. Finally, the model is tested using out-of-sample data,
showing its superiority over a competing model based on the traditional Macaulay's duration. 相似文献
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