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GMM을 이용한 Vasicek형태의 일요인 이자율 모형의 추정GMM Estimation of Vasicek Types One Factor Interest Rate Models

Other Titles
GMM Estimation of Vasicek Types One Factor Interest Rate Models
Authors
이준희박종우박훈최영권
Issue Date
Dec-2013
Publisher
한국생산성학회
Keywords
Vasicek Interest Rate Model; Damped Levy Process; Poisson Process; GMM
Citation
생산성논집, v.27, no.4, pp.321 - 344
Journal Title
생산성논집
Volume
27
Number
4
Start Page
321
End Page
344
URI
http://scholarworks.bwise.kr/ssu/handle/2018.sw.ssu/11854
DOI
10.15843/kpapr.27.4.201312.321
ISSN
1225-3553
Abstract
There has been many researches of the term structure of interest rates in theory and empirical studies. No researches has been performed in the forecasting comparison of models. This paper first attempts to compare various Vasicek types of interest rate models under the risk neutral measur. Our researchis different from Chan et al (1992). Chan er al (1992) compare models under the physical measure. Our paper compares four types of Vasicek models; pure Vasicek, damped Levy Vasicek, damped Levy diffusion Vasicek and finally jump diffusion Vasicek (Das and Foresi). We use GMM for estimation and forecast. We propose new orthogonal moment conditions which are different from Longstaff and Schwartz (1992), and Chen (1994). From our empirical results, we find that short interest rate and yield data in KTB(Korea Treasury Bond) have fat tails and skewness, but the small jump Levy models have more explanatory power than the large jump models. In the view of performance, damped Levy diffusion Vasicek model and Das and Foresi model have good forecasting abilities.
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