Specifying A Consistent Joint Maximum Likelihood Jmle Approach To Testing Bond Models PDF Download
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Author | : Buddhavarapu Sailesh Ramamurtie |
Publisher | : |
Total Pages | : |
Release | : 2014 |
Genre | : |
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Download Specifying a Consistent Joint Maximum-Likelihood (Jmle) Approach to Testing Bond Models Book in PDF, ePub and Kindle
In this paper we extend the results derived in our earlier work to develop a methodology to employ the maximum-likelihood estimation technique for the pricing of interest rate instruments. In order to price bonds and their derivative assets, researchers must identify a preference parameter in addition to the dynamics for the interest rate process. There are two approaches to obtaining estimators for both preference and dynamics parameters: (1) a two-stage approach and (2) a single-stage joint maximum-likelihood (JMLE) approach. The first approach, while tractable, suffers from serious drawbacks, primarily those relating to the use of the estimates from the first stage in estimating parameters in the second stage. In this paper, we develop the theory necessary for joint maximum-likelihood (JMLE) over the set of bond prices and the interest rate. We operationalize the theory by assuming that the error processes for all coupon bonds are mutually independent and uniformly distributed with a mean of zero. This specification is at least partially justifiable by the observation that since market prices are quoted in 1/32 of a dollar, theoretical prices must always be rounded either up or down. JML estimators can be obtained from the joint log-likelihood function by the methods of sequential quadratic programming.
Author | : Buddhavarapu Sailesh Ramamurtie |
Publisher | : |
Total Pages | : 28 |
Release | : 1996 |
Genre | : Bonds |
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Download Specifying a Consistent Joint Maximum-likelihood (JMLE) Approach to Testing Bond Models Book in PDF, ePub and Kindle
Author | : Daniel F. Waggoner |
Publisher | : |
Total Pages | : 36 |
Release | : 1997 |
Genre | : Bonds |
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Download Spline Methods for Extracting Interest Rate Curves from Coupon Bond Prices Book in PDF, ePub and Kindle
Author | : Steven L. Heston |
Publisher | : |
Total Pages | : 44 |
Release | : 1997 |
Genre | : Capital assets pricing model |
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Download A Closed-form GARCH Option Pricing Model Book in PDF, ePub and Kindle
Author | : Daniel F. Waggoner |
Publisher | : |
Total Pages | : 34 |
Release | : 1997 |
Genre | : Mathematical statistics |
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Download Normalization, Probability Distribution, and Impulse Responses Book in PDF, ePub and Kindle
Author | : Ellis William Tallman |
Publisher | : |
Total Pages | : 52 |
Release | : 1997 |
Genre | : Australia |
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Download Financial Aggregates as Conditioning Information for Australian Output and Inflation Book in PDF, ePub and Kindle
This paper examines whether financial aggregates provide information useful for predicting real output growth and inflation, extending the inquiry conducted in Tallman and Chandra (1996). First, we investigate whether perfect knowledge of the future values of financial aggregates helps improve significantly the forecasting accuracy of output and inflation in a simple vector autoregression framework. The results display only one notable improvement to the forecasts with the addition of perfect information on the financial aggregates future information on credit growth helps improve the prediction accuracy of real output growth. The improvement is most noticeable during the early 1990s recession. Second, we test whether the financial aggregates are important explanators within single-equation models that are more rigorously fitted to the data. We find only one instance in which an aggregate helps explain the variation in either real output growth or inflation that is, the growth in credit helps explain the growth in real output in a particular specification of the output model. This finding, though, is sensitive to the choice of foreign output proxy. In sum, we conclude that while credit may have some useful information in times of financial restructuring it is unlikely that there is information in financial aggregates that is exploitable systematically for predicting either real output growth or inflation.
Author | : Robert R. Bliss |
Publisher | : |
Total Pages | : 64 |
Release | : 1997 |
Genre | : Callable securities |
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Download Callable U.S. Treasury Bonds Book in PDF, ePub and Kindle
Author | : Robert R. Bliss |
Publisher | : |
Total Pages | : 36 |
Release | : 1997 |
Genre | : Interest rates |
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Download The Stability of Interest Rate Processes Book in PDF, ePub and Kindle
Author | : J. David Cummins |
Publisher | : |
Total Pages | : 52 |
Release | : 1997 |
Genre | : Derivative securities |
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Download Derivatives and Corporate Risk Management Book in PDF, ePub and Kindle
Author | : |
Publisher | : |
Total Pages | : 410 |
Release | : 1995 |
Genre | : Business |
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Download The Fed in Print Book in PDF, ePub and Kindle