An application of the Cox, Ingersoll, Ross model to the Croatian Government securities market

被引：0

作者：

Aljinovic, Z ^{[1
]}

Jovanovic, S ^{[1
]}

机构：

[1] Fac Econ, HR-21000 Split, Croatia

来源：

PROCEEDINGS OF THE 7TH INTERNATIONAL CONFERENCE ON OPERATIONAL RESEARCH - KOI'98 | 1999年

关键词：

term structure of interest rates; CIR model; Croatian Government bonds; parameters estimation; yield curve;

D O I：

暂无

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

After a simple intuitive derivation of the single-factor Got, Ingersoll and Ross (CIR) model of the term structure, it is used to ea;tract the term structure of interest rates from observed prices of (fixed rate) Croatian Government bonds. We assume, as the model requires, that the risk of default can be ignored. The parameters of the model and the spot rate value are estimated using cross-sections of prices for two dates. The resulting yield curves, corresponding to the estimated parameters, are the so-called inverse yield curves, for both dates.

引用

页码：75 / 82

页数：8

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