請使用永久網址來引用或連結此文件:
https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/61248
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| 題名: | Fitting the Term Structure of Interest Rates in Illiquid Market: Taiwan Experience |
| 作者: | Chou, Jian-Hsin;Su, Yung-Sheng;Tang, Hui-wen;Chen, Chen-Yu |
| 貢獻者: | 淡江大學保險學系 |
| 關鍵詞: | term structure of interest rates;Nelson-Siegel Model;liquidity constraint |
| 日期: | 2009-12-01 |
| 上傳時間: | 2011-10-15 13:25:48 (UTC+8) |
| 出版者: | Business Perspectives |
| 摘要: | This paper aims to compare the fitting performance of term structure estimation for Taiwan Government Bonds market,which is considered as an illiquid bond market with a low trading volume, based on the Nelson and Siegel, Extended Nelson-Siegel Model and Nelson-Siegel-Svensson Model (see Nelson and Sigel, 1987; Bliss, 1996; Svensson, 1994).The empirical results indicate that the fitting performance in accuracy for Nelson-Siegel-Svensson Model is better than that of Extended Nelson-Siegel Model, and the Extended Nelson-Siegel Model is better than that of Nelson-Siegel Model. It means that adding more parameters will obtain a better capability in describing the shape of the term structure. Also, compared with the case of which the liquidity constraint is not taken into consideration, these three models will have a better fitting performance if the liquidity constraint is considered. |
| 關聯: | Investment Management and Financial Innovations 6(1), pp.101-116
【EconLit】 |
| 顯示於類別: | [風險管理與保險學系] 期刊論文
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