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.
| Identifer | oai:union.ndltd.org:LACETR/oai:collectionscanada.gc.ca:QMM.28924 |
| Date | January 1994 |
| Creators | Simonato, Jean-Guy |
| Contributors | Duan, Jin Chuan (advisor) |
| Publisher | McGill University |
| Source Sets | Library and Archives Canada ETDs Repository / Centre d'archives des thèses électroniques de Bibliothèque et Archives Canada |
| Language | English |
| Detected Language | English |
| Type | Electronic Thesis or Dissertation |
| Format | application/pdf |
| Coverage | Doctor of Philosophy (Faculty of Management.) |
| Rights | All items in eScholarship@McGill are protected by copyright with all rights reserved unless otherwise indicated. |
| Relation | alephsysno: 001448240, proquestno: NN05795, Theses scanned by UMI/ProQuest. |
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