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Title: 実証的分析視点に基づく短期金利先物モデル
Other Titles: An Empirical Model of Short-Term Interest Rate Futures
Authors: 神薗, 健次
Authors (alternative): Kamizono, Kenji
Issue Date: 25-Sep-2016
Publisher: 長崎大学経済学会 / Economics Society of Nagasaki University
Citation: 経営と経済, 96(1-2), pp.1-14; 2016
Abstract: In this paper, we consider a short-term interest rate futures model. We estimate and forecast our model by using the daily data of the 3-month Eurodollar futures traded at the Chicago Mercantile Exchange(CME).Our statistical approach is based on a similar idea of that of Kariya et al.(1997)rather than that of the arbitrage pricing theory such as Heath-Jarrow-Morton(HJM).The aim of this paper is thus to construct an empirical model which is consistent with the observed data as much as possible.
Description: 村田省三教授、バスー・ディパック教授定年退職記念号 / In Honour of Prof. Shozo Murata and Prof. Dipak R. Basu
Keywords: interest rate model / yield curve / Euro-dollar futures
URI: http://hdl.handle.net/10069/36880
ISSN: 02869101
Type: Departmental Bulletin Paper
Text Version: publisher
Appears in Collections:Volume 96 No. 1-2

Citable URI : http://hdl.handle.net/10069/36880

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