haku: @indexterm capital markets / yhteensä: 931
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| Tekijä: | Rohrs, M. |
| Otsikko: | Empirischer Vergleich von Zinsstrukturfunktionen anhand offentlicher Anleihen der Bundesrepublik Deutschland |
| Lehti: | Zeitschrift für Betriebswirtschaft
1991 : AUG, VOL. 61:8, p. 919-940 |
| Asiasana: | CAPITAL MARKETS INTEREST RATES |
| Kieli: | ger |
| Tiivistelmä: | The flexibility of Vasicek's, Haugen's and Nelson/Siegel's functions of the term structure of interest rates is analyzed by investigating their long-term, medium-term and short-term components and their implied forward rates. Apart from some weakness of the Vasicek function in the medium-term section and Haugen's forward rate function all functions yield sufficient flexibility. The survey of the non linear regression of German security yields results in the finding that the Nelson/Siegel function fits the data best and that the fit of the Haugen function is inferior. Determining the parameters Sigma (Vasicek) and Tau (Nelson/Siegel) has caused some methodical problems. |
SCIMA