A nonparametric dimension test of the term structure

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dc.contributor.author Gil-Bazo, Javier
dc.contributor.author Rubio, Gonzalo
dc.date.accessioned 2006-11-08T14:54:19Z
dc.date.available 2006-11-08T14:54:19Z
dc.date.issued 2001-03
dc.identifier.uri http://hdl.handle.net/10016/133
dc.description.abstract This paper addresses the problem of conducting a nonparametric test of the dimension of the state variable vector in a continuous-time term structure model. The paper shows that a bivariate diffusion function of the short rate process is a sufficient condition for the term structure to be driven by two stochastic factors. Using an easy-to-implement kernel smoothing method the number of state variables can be tested under very unrestrictive assumptions. The results suggest that continuous-time models for the US interest rates should contain at least two stochastic factors.
dc.format.extent 197159 bytes
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Bussiness Economics
dc.relation.ispartofseries 2001-06
dc.title A nonparametric dimension test of the term structure
dc.type workingPaper
dc.subject.eciencia Empresa
dc.rights.accessRights openAccess
dc.identifier.repec wb012106
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