caa a22 4500 388047739 CHVBK 20180307125042.0 cr unu---uuuuu 161130e199812 xx s 000 0 eng 10.2307/2331128 doi S0022109000001034 pii (NATIONALLICENCE)cambridge-10.2307/2331128 Jiang George J. Faculty of Business and Economics, University of Groningen, Room 232 - WSN, PO Box 800, 9700 AV Groningen, The Netherlands. Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities [Elektronische Daten] [George J. Jiang] This paper develops a nonparametric model of interest rate term structure dynamics based on a spot rate process that permits only positive interest rates and a market price of interest rate risk that precludes arbitrage opportunities. Both the spot rate process and the market price of interest rate risk are nonparametrically specified so that the model allows for maximal flexibility in fitting into the data. Marginal density of interest rates and historical term structure data are exploited to provide robust estimation of the nonparametric term structure model. The model is implemented using U.S. data, and the estimation results are compared to those in the available literature. Empirical results not only provide strong evidence that most traditional spot rate models and market prices of interest rate risk are misspecified, but also confirm that the nonparametric model generates significantly different term structures and prices of common derivatives. Copyright © School of Business Administration, University of Washington 1998 Journal of Financial and Quantitative Analysis Cambridge University Press 33/4(1998-12), 465-497 0022-1090 33:4<465 1998 33 JFQ https://doi.org/10.2307/2331128 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331128 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Jiang George J. Faculty of Business and Economics, University of Groningen, Room 232 - WSN, PO Box 800, 9700 AV Groningen, The Netherlands NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 33/4(1998-12), 465-497 0022-1090 33:4<465 1998 33 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge