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    • DEP20 - Artículos de revista
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    Por favor, use este identificador para citar o enlazar este ítem:http://uvadoc.uva.es/handle/10324/21424

    Título
    The Role of the Risk-Neutral Jump Size Distribution in Single-Factor Interest Rate Models
    Autor
    Gómez del Valle, María LourdesAutoridad UVA Orcid
    Martínez Rodríguez, JuliaAutoridad UVA Orcid
    Año del Documento
    2015
    Editorial
    Hindawi Publishing Corporation
    Descripción
    Producción Científica
    Documento Fuente
    Abstract and Applied Analysis. Volume 2015, 2015, Article ID 805695, p. 1-8
    Abstract
    We 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.
    Materias (normalizadas)
    Tipos de interés
    Economía y empresa
    ISSN
    1085-3375
    Revisión por pares
    SI
    DOI
    10.1155/2015/805695
    Patrocinador
    Junta de Castilla y León (programa de apoyo a proyectos de investigación – Ref. VA191U13)
    Version del Editor
    https://www.hindawi.com/journals/aaa/2015/805695/
    Idioma
    eng
    URI
    http://uvadoc.uva.es/handle/10324/21424
    Derechos
    openAccess
    Collections
    • DEP20 - Artículos de revista [181]
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    Attribution-NonCommercial-NoDerivatives 4.0 InternationalExcept where otherwise noted, this item's license is described as Attribution-NonCommercial-NoDerivatives 4.0 International

    Universidad de Valladolid

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