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Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2019.1670713

Zero-coupon interest rates: Evaluating three alternative datasets

Antonio Díaz ; Departamento de Análisis Económico y Finanzas, Universidad de Castilla-La Mancha Facultad C. Económicas y Empresariales, Albacete, Spain
Francisco Jareño ; Departamento de Análisis Económico y Finanzas, Universidad de Castilla-La Mancha Facultad C. Económicas y Empresariales, Albacete, Spain
Eliseo Navarro ; Departamento de Economía y Dirección de Empresas, Universidad de Alcalá Edificio C. Económicas, Empresariales y Turismo, Alcalá De Henares, Spain

Puni tekst: engleski, pdf (3 MB) str. 3987-4014 preuzimanja: 37* citiraj
APA 6th Edition
Díaz, A., Jareño, F. i Navarro, E. (2019). Zero-coupon interest rates: Evaluating three alternative datasets . Economic research - Ekonomska istraživanja, 32 (1), 3987-4014. https://doi.org/10.1080/1331677X.2019.1670713
MLA 8th Edition
Díaz, Antonio, et al. "Zero-coupon interest rates: Evaluating three alternative datasets ." Economic research - Ekonomska istraživanja, vol. 32, br. 1, 2019, str. 3987-4014. https://doi.org/10.1080/1331677X.2019.1670713. Citirano 31.03.2020.
Chicago 17th Edition
Díaz, Antonio, Francisco Jareño i Eliseo Navarro. "Zero-coupon interest rates: Evaluating three alternative datasets ." Economic research - Ekonomska istraživanja 32, br. 1 (2019): 3987-4014. https://doi.org/10.1080/1331677X.2019.1670713
Harvard
Díaz, A., Jareño, F., i Navarro, E. (2019). 'Zero-coupon interest rates: Evaluating three alternative datasets ', Economic research - Ekonomska istraživanja, 32(1), str. 3987-4014. https://doi.org/10.1080/1331677X.2019.1670713
Vancouver
Díaz A, Jareño F, Navarro E. Zero-coupon interest rates: Evaluating three alternative datasets . Economic research - Ekonomska istraživanja [Internet]. 2019 [pristupljeno 31.03.2020.];32(1):3987-4014. https://doi.org/10.1080/1331677X.2019.1670713
IEEE
A. Díaz, F. Jareño i E. Navarro, "Zero-coupon interest rates: Evaluating three alternative datasets ", Economic research - Ekonomska istraživanja, vol.32, br. 1, str. 3987-4014, 2019. [Online]. https://doi.org/10.1080/1331677X.2019.1670713

Sažetak
The zero-coupon yield curve is a common input for most financial purposes. We consider three popular yield curve datasets and explore the extent to which the decision as to what dataset to use for a particular application may have an impact on the results. Many term structure papers evaluate alternative models for estimating zero coupon bonds based on their ability to replicate bond prices. However, in this paper we take a step forward by analyzing the consequences of using these alternative datasets in estimates of other moments and variables such as interest rate volatilities or the resulting forward rates and their correlations. After finding significant differences, we also explore the existence of volatility spillover effects among these three datasets. Finally, we illustrate the relevance of the choice of one particular dataset by examining the differences that may arise when testing the expectations hypothesis. In the conclusions, we provide guidance to end users in selecting a particular dataset.

Ključne riječi
Term Structure; Yield Curve; Data; Volatility; Forward rates; Correlation Expectations; Hypothesis

Hrčak ID: 229745

URI
https://hrcak.srce.hr/229745

Posjeta: 58 *