The structure of spot rates and immunization: Some further results |
| |
Authors: | Eliseo Navarro Juan M Nave |
| |
Institution: | (1) Universidad de Castilla-la Mancha, Facultad de Ciencias Económicas, área de Economía Financiera, Plaza de la Universidad, 1, 02071 Albacete, Spain (e-mail: navej@idr-ab.uclm.es), ES |
| |
Abstract: | 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. |
| |
Keywords: | JEL classification E43 G11 C51 |
本文献已被 SpringerLink 等数据库收录! |
|