A Comparative Analysis of Several Popular Term Structure Estimation Models
17 Pages Posted: 7 Oct 2013
Date Written: 1998
Fixed-income analysis begins with the term structure. Issues arise as to the methodology for estimating a term structure. Practitioners seem to want a method that is easy to implement, reliable, accurate, and appropriate for their particular niche (e.g., hedging, mortgage-backed, trading, or valuation). Our analysis addresses estimation methodology by using simulations to examine six methods of deriving a cross-sectional discount function.
Keywords: term structure estimation
JEL Classification: G10
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