English, Article, Journal or magazine article edition: Multiregime Term Structure Models GouriŽroux, C.; Scaillet, O.

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Bookmark: http://trove.nla.gov.au/version/3952
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Multiregime Term Structure Models
Author
  • GouriŽroux, C.
  • Scaillet, O.
Physical Description
  • preprint
Notes
  • The Ho and Lee model is the analogue for the study of the term structure of interest rates of the binomial tree introduced by Cox, Ross and Rubinstein in the one risky asset case. This model allows only for a small number of deformations of the term structure between two successive dates, and is therefore incompatible with available data. We propose here to reconcile tree approaches and statistical inference. We consider regime models for which the deformation of the term structure may behave randomly in each regime. Questions about constraints induced by no arbitrage are also addressed in a context of asymmetric information between traders and the econometrician in charge with the estimation.
  • binomial model; term structure; interest rate; asymmetric information
  • RePEc:ctl:louvir:1998002
Language
  • English
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