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Results 1 - 10
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2,675
and Spot Exchange Rates
- Journal qf Monetary Economics
, 1984
"... There is a general comemum that forward exchanse rates have tittle if any power as forecasts of future spot exchat ~ rateL There is less alpeentent on whether forward rates contain time varying premiumL Conditional on the bjpmlm ~ that the forward market is efficient or rational, this paper finds th ..."
Abstract
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Cited by 444 (1 self)
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There is a general comemum that forward exchanse rates have tittle if any power as forecasts of future spot exchat ~ rateL There is less alpeentent on whether forward rates contain time varying premiumL Conditional on the bjpmlm ~ that the forward market is efficient or rational, this paper finds
Forward Rates Spot Rates
, 2002
"... Abstract. All valuations (discounted cash flow, instrument pricing, option pricing) and other financial calculations require an estimate of the evolution of the risk-free rates as implied by the term structure. This presumes that one has, if not complete knowledge, at least a very good estimate of t ..."
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of the term structure, for the so-called zero-curves (spot and forward rate curves, discount factor curve, etc.). This paper is concerned with the methodology of deriving these zero-curves. It reviews the methodology and the limitations of standard BootStrapping and proposes a quite different approach based
An equilibrium characterization of the term structure.
- J. Financial Econometrics
, 1977
"... The paper derives a general form of the term structure of interest rates. The following assumptions are made: (A.l) The instantaneous (spot) interest rate follows a diffusion process; (A.2) the price of a discount bond depends only on the spot rate over its term; and (A.3) the market is efficient. ..."
Abstract
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Cited by 1041 (0 self)
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The paper derives a general form of the term structure of interest rates. The following assumptions are made: (A.l) The instantaneous (spot) interest rate follows a diffusion process; (A.2) the price of a discount bond depends only on the spot rate over its term; and (A.3) the market is efficient
Adjusted Forward Rates as Predictors of Futures Spot Rates
- Journal of Fixed Income
, 1996
"... Prior studies indicate that the predictive power of implied forward rates for future spot rates is weak over long sample periods and typically varies dramatically across different subperiods. Fama (1976, 1984) conjectures that the low forecast power is due to a failure to control for the term premiu ..."
Abstract
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Cited by 5 (1 self)
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Prior studies indicate that the predictive power of implied forward rates for future spot rates is weak over long sample periods and typically varies dramatically across different subperiods. Fama (1976, 1984) conjectures that the low forecast power is due to a failure to control for the term
A closed-form solution for options with stochastic volatility with applications to bond and currency options
- Review of Financial Studies
, 1993
"... I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I introduce stochastic interest rates and show how to apply the model to bond option ..."
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Cited by 1512 (6 self)
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I use a new technique to derive a closed-form solution for the price of a European call option on an asset with stochastic volatility. The model allows arbitrary correlation between volatility and spotasset returns. I introduce stochastic interest rates and show how to apply the model to bond
Testing Continuous-Time Models of the Spot Interest Rate
- Review of Financial Studies
, 1996
"... Different continuous-time models for interest rates coexist in the literature. We test parametric models by comparing their implied parametric density to the same density estimated nonparametrically. We do not replace the continuous-time model by discrete approximations, even though the data are rec ..."
Abstract
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Cited by 310 (9 self)
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are recorded at discrete intervals. The principal source of rejection of existing models is the strong nonlinearity of the drift. Around its mean, where the drift is essentially zero, the spot rate behaves like a random walk. The drift then mean-reverts strongly when far away from the mean. The volatility
Explaining the rate spread on corporate bonds
- Journal of Finance
, 2001
"... The purpose of this article is to explain the spread between spot rates on corporate and government bonds. We find that the spread can be explained in terms of three elements: (1) compensation for expected default of corporate bonds (2) compensation for state taxes since holders of corporate bonds p ..."
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Cited by 383 (3 self)
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The purpose of this article is to explain the spread between spot rates on corporate and government bonds. We find that the spread can be explained in terms of three elements: (1) compensation for expected default of corporate bonds (2) compensation for state taxes since holders of corporate bonds
Modelling the Rand-Dollar Future Spot Rates: The Kalman Filter Approach
, 2004
"... This paper examines the applicability of the Kalman filter technique to forecast the rand-dollar future spot rate. The failure of the “Unbiased forward rate hypothesis ” in predicting the future spot rate conveys the very important information that participants in the rand-dollar forward market are ..."
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This paper examines the applicability of the Kalman filter technique to forecast the rand-dollar future spot rate. The failure of the “Unbiased forward rate hypothesis ” in predicting the future spot rate conveys the very important information that participants in the rand-dollar forward market
A Remark on Spot Rate Models Induced by an Equilibrium Model
, 1999
"... Cox-Ingersoll-Ross presented so-called CIR spot rate model, which is explained by their equilibrium model. We set an economy model with a slight modification of their model in terms of semi-martingale and show the existence of equilibrium in our model. Furthermore, we discuss interest rate under eq ..."
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Cox-Ingersoll-Ross presented so-called CIR spot rate model, which is explained by their equilibrium model. We set an economy model with a slight modification of their model in terms of semi-martingale and show the existence of equilibrium in our model. Furthermore, we discuss interest rate under
An Empirical Assessment of Spot Rate Model Stability
, 2009
"... The purpose of this paper is to add to the empirical evidence on the efficacy of alternative simulation models of the short term interest rate. This is done by constructing consistent specification tests that allow us to carry out a “horse-race” comparing various one, two, and three factor models (p ..."
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Cited by 3 (3 self)
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The purpose of this paper is to add to the empirical evidence on the efficacy of alternative simulation models of the short term interest rate. This is done by constructing consistent specification tests that allow us to carry out a “horse-race” comparing various one, two, and three factor models
Results 1 - 10
of
2,675
