Publication
Econometric modelling of the short-term interest rate : an application to Portugal
| dc.contributor.author | Cassola, Nuno | |
| dc.contributor.author | Nicolau, João | |
| dc.contributor.author | Sousa, João | |
| dc.date.accessioned | 2023-04-11T09:11:16Z | |
| dc.date.available | 2023-04-11T09:11:16Z | |
| dc.date.issued | 1997 | |
| dc.description.abstract | In this paper we estimate and compare, for Portugal, several econometric models of the short-term interest rate inspired in the continuous-time models of Vasicek, and Cox, Ingersoll and Ross. The models are first estimated using the Generalised Method of Moments. The empirical results motivate estimating the short-term interest rate process using a regime switching technique where regimes follow a Markov chain. Some applications to term structure modelling and contingent claim valuation are carried out. | pt_PT |
| dc.description.version | info:eu-repo/semantics/publishedVersion | pt_PT |
| dc.identifier.citation | Cassola, Nuno, João Nicolau and João Sousa .(1997). “Econometric modelling of the short-term interest rate : an application to Portugal “. Banco de Portugal - Estudos e Documentos de Trabalho, Nº 5-97. | pt_PT |
| dc.identifier.issn | 0870-0117 | |
| dc.identifier.uri | http://hdl.handle.net/10400.5/27607 | |
| dc.language.iso | eng | pt_PT |
| dc.publisher | Banco de Portugal | pt_PT |
| dc.relation.ispartofseries | Banco de Portugal - Estudos e Documentos de Trabalho, Nº 5/ 97.; | |
| dc.subject | Nominal Interest Rate Modelling | pt_PT |
| dc.subject | Generalised Method of Moments | pt_PT |
| dc.subject | Regime Switching Models | pt_PT |
| dc.subject | Markov Chain | pt_PT |
| dc.subject | Conditional Volatility | pt_PT |
| dc.subject | Portugal | pt_PT |
| dc.title | Econometric modelling of the short-term interest rate : an application to Portugal | pt_PT |
| dc.type | working paper | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | workingPaper | pt_PT |