A Comparative Analysis of Several Popular Term Structure Estimation Models

17 Pages Posted: 7 Oct 2013

See all articles by Robert Ferguson

Robert Ferguson

AnswersToGo

Steven B. Raymar

Fordham University - Finance Area

Date Written: 1998

Abstract

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

Suggested Citation

Ferguson, Robert and Raymar, Steven B., A Comparative Analysis of Several Popular Term Structure Estimation Models (1998). Journal of Fixed Income, Vol. 7, No. 4, 1998, 17-33. Available at SSRN: https://ssrn.com/abstract=2336720

Robert Ferguson (Contact Author)

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Steven B. Raymar

Fordham University - Finance Area ( email )

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