[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.5351/CKSS.2003.10.3.655

Term Structure Estimation Using Official Rate

Rhee, Joon Hee (Department of Finance, Hallym University)
Kim, Yoon Tae (Department of Statistics, Hallym University)

Publication Information

Communications for Statistical Applications and Methods / v.10, no.3, 2003 , pp. 655-663 More about this Journal

Abstract

The fundamental tenn structure model is based on the modelling of the short rate. It is well-known that the short rate depends on the interest rate policy of monetary authorities, especially on the official rate. Babbs and Webber(1994) modelled the tenn structure of interest rates using the official rate. They assume that the official rate follows a jump process. This reflects that the official rate infrequently changes. In this paper, we test this official tenn structure model and compare the jump-diffusion model with the pure diffusion model.

Keywords

Change of Measures; Jump- Diffusion Model; Affine Tenn Structure Model; Brownian Motion; Poisson Process.;

Citations & Related Records

Reference

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