Publicação
Econometric modelling of the short-term interest rate : an application to Portugal
| Resumo: | In this paper we estimate and compare, for Portugal, several econometric models of the short-term interest rate inspired in the continuous-time models of Vasicek, and Cox, Ingersoll and Ross. The models are first estimated using the Generalised Method of Moments. The empirical results motivate estimating the short-term interest rate process using a regime switching technique where regimes follow a Markov chain. Some applications to term structure modelling and contingent claim valuation are carried out. |
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| Autores principais: | Cassola, Nuno |
| Outros Autores: | Nicolau, João; Sousa, João |
| Assunto: | Nominal Interest Rate Modelling Generalised Method of Moments Regime Switching Models Markov Chain Conditional Volatility Portugal |
| Ano: | 1997 |
| País: | Portugal |
| Tipo de documento: | working paper |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório da Universidade de Lisboa |
| Resumo: | In this paper we estimate and compare, for Portugal, several econometric models of the short-term interest rate inspired in the continuous-time models of Vasicek, and Cox, Ingersoll and Ross. The models are first estimated using the Generalised Method of Moments. The empirical results motivate estimating the short-term interest rate process using a regime switching technique where regimes follow a Markov chain. Some applications to term structure modelling and contingent claim valuation are carried out. |
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