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Erlbaum Associates
 User Centered System Design: New Perspectives on HumanComputer Interaction
, 1986
"... Storing and restoring visual input with collaborative rank coding and ..."
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Storing and restoring visual input with collaborative rank coding and
Stability of Descriptive Models for the Term Structure of Interest Rates
 British Actuarial Journal
, 1997
"... This paper discusses the use of parametric models for the term structure of interest rates and their uses. The paper focuses on a potential problem which arises out of the use of certain models. In most cases the process of parameter estimation involves the minimization or maximization of a function ..."
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Cited by 7 (3 self)
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This paper discusses the use of parametric models for the term structure of interest rates and their uses. The paper focuses on a potential problem which arises out of the use of certain models. In most cases the process of parameter estimation involves the minimization or maximization of a function (for example, least squares or maximum likelihood). In some cases this function can have a global minimum/maximum plus one or more local minima/maxima. As we progress through time this leads to a process under which parameter estimates and the fitted term structure can jump about in a way which is inconsistent with bondprice changes. Here a number of models are identified as susceptible to this sort of problem. A new descriptive model (the restrictedexponential model) is proposed under which it is proved that the likelihood and Bayesian posterior functions have unique maxima: both in a zerocoupon bond market and in a lowcoupon bond market. A counterexample shows that this result can brea...
The Information Content of the Yield Curve
"... The goal of this paper is to determine empirically the information content of the nominal yield curve of riskless nonindexed bonds in Switzerland, that is, future expected inflations rates and real interest rates. Applying the threefactor term structure model proposed by Cox, Ingersoll and Ross (C ..."
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The goal of this paper is to determine empirically the information content of the nominal yield curve of riskless nonindexed bonds in Switzerland, that is, future expected inflations rates and real interest rates. Applying the threefactor term structure model proposed by Cox, Ingersoll and Ross (CIR), we estimate the model parameters by the full information maximum likelihood method for a sample of pooled timeseries and crosssection data. This maximization is subject to the condition that the theoretical yield curve fits the actual yield curve observed on the trading day under consideration as well as possible. For a sample of forty weeks, we obtain the puzzling result that the term structures of real spot interest rates are both uprward and downward sloping, while the term structures of expected spot inflation rates are always upward sloping. We attribute this result to the particular assumptions of the CIR model. We test the model performance indirectly in two ways. First, we compare the future expected nominal spot interest rates with the nominal forward interest rates implied by the observed yield curve over a future time horizon of four years. The outcome of this test is quite
Time in Yrs Annual Coupon Market Price
"... The ordinary bootstrap method for computing forward rates from zero rates generates posynomial equations as introduced in an area of optimization termed geometric programming invented by Duffin, Peterson, and Zener [6]. posynomial disc. fns e−zk(tk−t0) �k−1 = i=0 x (ti+1−ti) i,i+1, k = 1,... express ..."
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The ordinary bootstrap method for computing forward rates from zero rates generates posynomial equations as introduced in an area of optimization termed geometric programming invented by Duffin, Peterson, and Zener [6]. posynomial disc. fns e−zk(tk−t0) �k−1 = i=0 x (ti+1−ti) i,i+1, k = 1,... express the forward rates zk(tk − t0) = � k−1 i=0 fi,i+1(ti+1 − ti), where xi,i+1 = e −fi,i+1 in Tables 2–4. Note that the are n equations in m unknowns (n = m =5). Ordinary bootstrapping does not work when n � = m, eg., if there were no 0.5 time T–Bill. 1 (1)