The Australian term structure model

the dynamic semiparametric factor model approach

Chamadanai Marknual

Research output: Contribution to journalMeeting abstract

Abstract

Parametric term structure model relies on a prior function which may be misspecified, while nonparametric model does not capture the evolution of yield curve. This study estimates the Australian term structure model by a dynamic semiparametric factor model (DSFM) without any predetermined function.
Original languageEnglish
Pages (from-to)40
Number of pages1
JournalExpo 2013 Higher Degree Research : book of abstracts
Publication statusPublished - 2013
EventHigher Degree Research Expo (9th : 2013) - Sydney
Duration: 5 Nov 20137 Nov 2013

Keywords

  • Dynamic semiparametric factor model
  • Term structure
  • Yield curve estimation
  • Factor model

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