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 language | English |
|---|---|
| Pages (from-to) | 40 |
| Number of pages | 1 |
| Journal | Expo 2013 Higher Degree Research : book of abstracts |
| Publication status | Published - 2013 |
| Event | Higher Degree Research Expo (9th : 2013) - Sydney Duration: 5 Nov 2013 → 7 Nov 2013 |
Keywords
- Dynamic semiparametric factor model
- Term structure
- Yield curve estimation
- Factor model