Short rate forecasting based on the inference from the CIR model for multiple yield curve dynamics
In this paper, we propose a strategy to extract the information on the market participants’ expectation of the future short rate from the cross-sectional zero coupon bond prices. In line with the current market practice of building different yield curves for different tenors, we construct multiple o...
| Main Authors: | , |
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| Format: | Journal Article |
| Published: |
World Scientific Publishing Co.
2016
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| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/15379 |