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dc.contributor.authorGómez del Valle, María Lourdes 
dc.contributor.authorMartínez Rodríguez, Julia 
dc.date.accessioned2016-12-02T10:01:12Z
dc.date.available2016-12-02T10:01:12Z
dc.date.issued2015
dc.identifier.citationAbstract and Applied Analysis. Volume 2015, 2015, Article ID 805695, p. 1-8es
dc.identifier.issn1085-3375
dc.identifier.urihttp://uvadoc.uva.es/handle/10324/21424
dc.descriptionProducción Científicaes
dc.description.abstractWe obtain a result that relates the risk-neutral jump size of interest rates with yield curve data. This function is unobservable; therefore, this result opens a way to estimate the jump size directly fromdata in the markets together with the risk-neutral drift and jump intensity estimations.Then, we investigate the finite sample performance of this approach with a test problem.Moreover, we analyze the effect of estimating the risk-neutral jump size instead of assuming that it is artificially absorbed by the jump intensity, as usual in the interest rate literature. Finally, an application to US Treasury Bill data is also illustrated.es
dc.format.mimetypeapplication/pdfes
dc.language.isoenges
dc.publisherHindawi Publishing Corporationes
dc.rights.accessRightsinfo:eu-repo/semantics/openAccesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectTipos de interéses
dc.subjectEconomía y empresaes
dc.titleThe Role of the Risk-Neutral Jump Size Distribution in Single-Factor Interest Rate Modelses
dc.typeinfo:eu-repo/semantics/articlees
dc.identifier.doihttp://dx.doi.org/10.1155/2015/805695es
dc.relation.publisherversionhttps://www.hindawi.com/journals/aaa/2015/805695/es
dc.identifier.publicationfirstpage1es
dc.identifier.publicationissue2015es
dc.identifier.publicationlastpage9es
dc.identifier.publicationtitleAbstract and Applied Analysises
dc.peerreviewedSIes
dc.description.projectJunta de Castilla y León (programa de apoyo a proyectos de investigación – Ref. VA191U13)es
dc.rightsAttribution-NonCommercial-NoDerivatives 4.0 International


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