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Three essays on the term structure of interest rates

This dissertation is formed of three essays on the term structure of interest rates. The first essay compares Kalman filter and GMM methodologies for parameter estimation of log-linear term structure models. The second essay develops the maximum likelihood estimation of a deposit insurance pricing model with stochastic interest rates. The third essay examines the empirical performance of an equilibrium model of nominal bond prices with changing inflation regimes.

Identiferoai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:QMM.28924
Date January 1994
CreatorsSimonato, Jean-Guy
ContributorsDuan, Jin Chuan (advisor)
PublisherMcGill University
Source SetsLibrary and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada
LanguageEnglish
Detected LanguageEnglish
TypeElectronic Thesis or Dissertation
Formatapplication/pdf
CoverageDoctor of Philosophy (Faculty of Management.)
RightsAll items in eScholarship@McGill are protected by copyright with all rights reserved unless otherwise indicated.
Relationalephsysno: 001448240, proquestno: NN05795, Theses scanned by UMI/ProQuest.

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