Calibration of short rate term structure models from bid–ask coupon bond prices

2018 ◽  
Vol 492 ◽  
pp. 1456-1472
Author(s):  
Erika Gomes-Gonçalves ◽  
Henryk Gzyl ◽  
Silvia Mayoral
Keyword(s):  
Term Structure ◽  
Bond Prices ◽  
Term Structure Models ◽  
Coupon Bond

scholarly journals Zero-Coupon Yields and the Cross-Section of Bond Prices

2021 ◽  
Author(s):  
N Aaron Pancost
Keyword(s):  
Term Structure ◽  
Yield Curve ◽  
Structure Model ◽  
Bond Prices ◽  
Cross Sectional ◽  
Term Structure Model ◽  
No Arbitrage ◽  
Affine Model ◽  
The Cross ◽  
Coupon Bond

Abstract I estimate a dynamic term structure model on an unbalanced panel of Treasury coupon bonds, without relying on an interpolated zero-coupon yield curve. A linearity-generating model, which separates the parameters that govern the cross-sectional and time-series moments of the model, takes about 8 min to estimate on a sample of over 1 million bond prices. The traditional exponential affine model takes about 2 hr, because of a convexity term in coupon-bond prices that cannot be concentrated out of the cross-sectional likelihood. I quantify the on-the-run premium and a “notes versus bonds” premium from 1990 to 2017 in a single, easy-to-estimate no-arbitrage model.

Short Rate Models

2019 ◽  
pp. 272-279
Author(s):  
Tomas Björk
Keyword(s):  
Term Structure ◽  
Structure Equation ◽  
Rate Model ◽  
Bond Prices ◽  
Martingale Methods ◽  
Coupon Bond ◽  
Short Rate Models

The simplest Markovian short rate model is analyzed using classical and martingale methods, and the term structure equation for the determination of zero coupon bond prices is derived.

Risk Premia and Wishart Term Structure Models

2010 ◽  
Author(s):  
Carl Chiarella ◽  
Chih-Ying Hsiao ◽  
Thuy Duong To
Keyword(s):  
Term Structure ◽  
Risk Premia ◽  
Term Structure Models
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