English, Article edition: YIELD CURVE ESTIMATION IN THE ILLIQUID MARKET: FRAMEWORK, MODELS AND EMPIRICAL STUDY CHI XIE; HUI CHEN; XIANG YU

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Bookmark: http://trove.nla.gov.au/version/36647
Physical Description
  • article
Language
  • English

Edition details

Title
  • YIELD CURVE ESTIMATION IN THE ILLIQUID MARKET: FRAMEWORK, MODELS AND EMPIRICAL STUDY
Author
  • CHI XIE
  • HUI CHEN
  • XIANG YU
Physical Description
  • article
Notes
  • In this paper, we propose a framework to estimate the yield curve in the illiquid market. Within this framework, seven different curve-fitting models are compared from four aspects with the trading data of government bonds listed in the Shanghai Stock Exchange (SSE) of China. We find that the exponential spline model is optimal for this market. The characteristics and reasons underlying SSE interest rate fluctuations in the past two years are also analyzed.
  • Illiquid market, yield curve of the government bond, curve fitting
  • RePEc:wsi:ijitdm:v:05:y:2006:i:03:p:467-481
Language
  • English
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