| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w6631
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| 来源ID | Working Paper 6631
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| Poisson-Guassian Processes and the Bond Markets |
| Sanjiv R. Das
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| 发表日期 | 1998-07-01
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| 出版年 | 1998
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| 语种 | 英语
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| 摘要 | That interest rates move in a discontinuous manner is no surprise to participants in the bond markets. This paper proposes and estimates a class of Poisson-Gaussian processes that allow for jumps in interest rates. Estimation is undertaken using exact continuous-time and discrete-time estimators. Analytical derivations of the characteristic functions, moments and density functions of jump-diffusion stochastic process are developed and employed in empirical estimation. These derivations are general enough to accommodate any jump distribution. We find that jump processes capture empirical features of the data which would not be captured by diffusion models. The models in the paper enable an assessment of the impact of Fed activity and day-of-week effects on the stochastic process for interest rates. There is strong evidence that existing diffusion models would be well-enhanced by jump processes. |
| URL | https://www.nber.org/papers/w6631
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/564143
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推荐引用方式
GB/T 7714 |
Sanjiv R. Das. Poisson-Guassian Processes and the Bond Markets. 1998.
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文件名：
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w6631.pdf
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格式：
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Adobe PDF
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