Título:
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A Varma Approach for Estimating Term Premia: the Case of the Spanish Interbank Money Market.
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Autores:
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Flores de Frutos, Rafael
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Tipo de documento:
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texto impreso
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Editorial:
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Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE), 1995-03
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Dimensiones:
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application/pdf
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Nota general:
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info:eu-repo/semantics/openAccess
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Idiomas:
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Palabras clave:
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Estado = Publicado
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Materia = Ciencias Sociales: Economía: Finanzas
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Materia = Ciencias Sociales: Economía: Macroeconomía
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Tipo = Documento de trabajo o Informe técnico
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Resumen:
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This paper highlights the shortcomings of the standard approach of estimating risk premia in the term structure of interest rates. In order to overcome these limitations, a VARMA model based approach is proposed. This procedure is illustrated with the estimation of the term premium implicit in the 30-day interest rate with regard to the 15-day rate, in the Spanish interbank money market.
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En línea:
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https://eprints.ucm.es/id/eprint/28192/1/ICAE9504.pdf
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