Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/1410
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dc.contributor.authorDíaz, Antonio-
dc.contributor.authorJareño, Francisco-
dc.contributor.authorNavarro, Eliseo-
dc.date.accessioned2012-04-20T10:48:23Z-
dc.date.available2012-04-20T10:48:23Z-
dc.date.issued2011-07-
dc.identifier.urihttp://hdl.handle.net/10400.21/1410-
dc.description.abstractFinancial literature and financial industry use often zero coupon yield curves as input for testing hypotheses, pricing assets or managing risk. They assume this provided data as accurate. We analyse implications of the methodology and of the sample selection criteria used to estimate the zero coupon bond yield term structure on the resulting volatility of spot rates with different maturities. We obtain the volatility term structure using historical volatilities and Egarch volatilities. As input for these volatilities we consider our own spot rates estimation from GovPX bond data and three popular interest rates data sets: from the Federal Reserve Board, from the US Department of the Treasury (H15), and from Bloomberg. We find strong evidence that the resulting zero coupon bond yield volatility estimates as well as the correlation coefficients among spot and forward rates depend significantly on the data set. We observe relevant differences in economic terms when volatilities are used to price derivatives.por
dc.language.isoengpor
dc.rightsopenAccesspor
dc.subjectVolatility term structurepor
dc.subjectTerm structure of interest ratespor
dc.subjectYield curve data setspor
dc.titleThe problem of estimating the volatility of zero coupon bond interest ratepor
dc.typeconferenceObjectpor
dc.peerreviewedyespor
degois.publication.locationXII Iberian-Italian Congress of Financial and Actuarial Mathematicspor
Aparece nas colecções:ISCAL - Comunicações

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