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YIELD CURVE ESTIMATION IN THE ILLIQUID MARKET:: FRAMEWORK, MODELS AND EMPIRICAL STUDY.
- Source :
- International Journal of Information Technology & Decision Making; Sep2006, Vol. 5 Issue 3, p467-481, 15p, 4 Charts, 3 Graphs
- Publication Year :
- 2006
-
Abstract
- In this paper, we propose a framework to estimate the yield curve in the illiquid market. Within this framework, seven different curve-fitting models are compared from four aspects with the trading data of government bonds listed in the Shanghai Stock Exchange (SSE) of China. We find that the exponential spline model is optimal for this market. The characteristics and reasons underlying SSE interest rate fluctuations in the past two years are also analyzed. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 02196220
- Volume :
- 5
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- International Journal of Information Technology & Decision Making
- Publication Type :
- Academic Journal
- Accession number :
- 22539233
- Full Text :
- https://doi.org/10.1142/S0219622006002064