A Nonparametric Dimension Test of the Term Structure
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| 024 | 7 | 0 | |a 10.2202/1558-3708.1117 |2 doi |
| 035 | |a (NATIONALLICENCE)gruyter-10.2202/1558-3708.1117 | ||
| 245 | 0 | 2 | |a A Nonparametric Dimension Test of the Term Structure |h [Elektronische Daten] |c [Javier Gil-Bazo, Gonzalo Rubio] |
| 520 | 3 | |a In an economy with multiple sources of risk, the short-term interest rate does not capture all the information that determines the conditional distribution of bond yields. This is also true for path-dependent term structure models. In either case, the current short rate level is not a sufficient statistic for the conditional density of future short rates. This paper studies the empirical relevance of both issues from a time-series nonparametric perspective. The analysis is formulated as a test for the dependence of the short rate drift and diffusion on variables other than the short rate, and exploits Ait-Sahalia, Bickel, and Stocker (2001) dimension reduction method. The paper explores the finite sample performance of the method and applies the test to US interest rate data. Results reject a single-factor Markovian model, although conclusions are sensitive to the choice of additional conditioning variables. | |
| 540 | |a ©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston | ||
| 690 | 7 | |a E43, E47, C14 |2 nationallicence | |
| 700 | 1 | |a Gil-Bazo |D Javier |u Universidad Carlos III de Madrid, javier.gil.bazo@uc3m.es |4 aut | |
| 700 | 1 | |a Rubio |D Gonzalo |u Universidad del Pais Vasco |4 aut | |
| 773 | 0 | |t Studies in Nonlinear Dynamics & Econometrics |d De Gruyter |g 8/3(2004-09-16) |q 8:3 |1 2004 |2 8 |o snde | |
| 856 | 4 | 0 | |u https://doi.org/10.2202/1558-3708.1117 |q text/html |z Onlinezugriff via DOI |
| 908 | |D 1 |a research article |2 jats | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.2202/1558-3708.1117 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Gil-Bazo |D Javier |u Universidad Carlos III de Madrid, javier.gil.bazo@uc3m.es |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Rubio |D Gonzalo |u Universidad del Pais Vasco |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Studies in Nonlinear Dynamics & Econometrics |d De Gruyter |g 8/3(2004-09-16) |q 8:3 |1 2004 |2 8 |o snde | ||
| 900 | 7 | |b CC0 |u http://creativecommons.org/publicdomain/zero/1.0 |2 nationallicence | |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-gruyter | ||