Publication: A nonparametric dimension test of the term structure
dc.affiliation.dpto | UC3M. Departamento de EconomÃa de la Empresa | es |
dc.contributor.author | Gil-Bazo, Javier | |
dc.contributor.author | Rubio, Gonzalo | |
dc.date.accessioned | 2010-03-25T12:49:12Z | |
dc.date.available | 2010-03-25T12:49:12Z | |
dc.date.issued | 2004 | |
dc.description.abstract | In an economy with multiple sources of risk, the short-term interest rate does not capture all the information that determines the conditional distribution of bond yields. This is also true for path-dependent term structure models. In either case, the current short rate level is not a sufficient statistic for the conditional density of future short rates. This paper studies the empirical relevance of both issues from a time-series nonparametric perspective. The analysis is formulated as a test for the dependence of the short rate drift and diffusion on variables other than the short rate, and exploits Ait-Sahalia, Bickel, and Stocker (2001) dimension reduction method. The paper explores the finite sample performance of the method and applies the test to US interest rate data. Results reject a single-factor Markovian model, although conclusions are sensitive to the choice of additional conditioning variables. | |
dc.description.status | Publicado | |
dc.format.mimetype | application/pdf | |
dc.identifier.bibliographicCitation | Studies in Nonlinear Dynamics and Econometrics, 2004, 8, 3, art.6 | |
dc.identifier.issn | 1558-3708 | |
dc.identifier.uri | https://hdl.handle.net/10016/7504 | |
dc.language.iso | eng | |
dc.publisher | Berkeley Electronic Press | |
dc.relation.publisherversion | http://www.bepress.com/snde/vol8/iss3/art6/ | |
dc.rights.accessRights | open access | |
dc.subject.eciencia | Empresa | |
dc.title | A nonparametric dimension test of the term structure | |
dc.type | research article | * |
dc.type.review | PeerReviewed | |
dspace.entity.type | Publication |
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