Short rate forecasting based on the inference from the CIR model for multiple yield curve dynamics

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...

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Bibliographic Details
Main Authors: Hin, L., Dokuchaev, Nikolai
Format: Journal Article
Published: World Scientific Publishing Co. 2016
Subjects:
optimization
CIR spot rate model
interest rates
Online Access:http://hdl.handle.net/20.500.11937/15379

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