Skip to main content
SpringerLink
Log in

Estimation of the transition behaviour of term structures of interest rates

  • Articles
  • Published:
Statistical Papers Aims and scope Submit manuscript

Abstract

The current prices and interest rate sensitivities of interest rate derivatives depend on the stochastic behaviour of future term structures of interest rates. In this paper we present an arbitrage-free trinomial model to characterize possible changes of interest rates. This model is used to estimate the transition behaviour of term structures of interest rates in the German bond market.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  • Bliss R, Ronn E (1989) Arbitrage-Based Estimation of Nonstationary Shifts in the Term Structure of Interest Rates. Journal of Finance 44: 591–610

    Article  Google Scholar 

  • Bradley S, Crane D (1973) Management of Commercial Bank Government Security Portfolios: An Optimization Approach under Uncertainty. Journal of Bank Research 6: 18–30

    Google Scholar 

  • Bühler W, Schulze M (1991) Schätzung von Diskontfunktionen und deren arbitragefreien Übergangsverhalten im Zeitablauf. Zwischenbericht über die bisherigen Arbeiten im Rahmen des Projektes “Zinsoptionen” im Rahmen des Forschungsschwerpunktes “Empirische Kapitalmarktforschung” der Deutschen Forschungsgemeinschaft. University of Mannheim

  • Carleton W, Cooper I (1976) Estimation and Uses of the Term Structure of Interest Rates. Journal of Finance 31: 1067–1084

    Article  Google Scholar 

  • Chambers D, Carleton W, Waldman D (1984) A New Approach to Estimation of the Term Structure of Interest Rates. Journal of Financial and Quantitative Analysis 19: 233–252

    Article  Google Scholar 

  • Cox J, Ingersoll J, Ross S (1981) A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates. Journal of Finance 36: 769–799

    Article  Google Scholar 

  • Cox J, Ingersoll J, Ross S (1981) A Theory of the Term Structure of Interest Rates. Econometrica 53: 385–407

    Article  MathSciNet  Google Scholar 

  • Cox J, Ross S, Rubinstein M (1979) Option Pricing: A Simplified Approach. Journal of Financial Economics 7: 229–263

    Article  MATH  Google Scholar 

  • Heath D, Jarrow R, Morton A (1990): Bond Pricing and the Term Structure of Interest Rates: A Discrete Time Approximation. Journal of Financial and Quantitative Analysis 26: 419–440

    Article  Google Scholar 

  • Herzog W (1990) Zinsänderungsrisiken in Kreditinstituten. Gabler, Wiesbaden

    Google Scholar 

  • Ho T, Lee S (1986) Term Structure Movements and Pricing Interest Rate Contingent Claims. Journal of Finance 41: 1011–1029

    Article  Google Scholar 

  • Jensen B, Nielsen J (1991) The Structure of Binomial Lattice Models for Bonds. Working Paper 91/1, Institute of Finance, Copenhagen School of Economics and Business Administration

  • Judge G, Griffiths W, Hill R, Lütkepohl H, Lee T (1985) The Theory and Practice of Econometrics, 2nd edn. Wiley, New York

    Google Scholar 

  • Litzenberger R, Rolfo J (1984) An International Study of Tax Effects on Government Bonds. Journal of Finance 39: 1–22

    Article  Google Scholar 

  • Lutz F (1967) Zinstheorie. Mohr, Zürich-Tübingen

    Google Scholar 

  • Mc Culloch J (1971) Measuring the Term Structure of Interest Rates. Journal of Business 44: 19–31

    Article  Google Scholar 

  • Schaefer S (1981) Measuring a Tax-Specific Term Structure of Interest Rates in the Market for British Government Securities. The Economic Journal 91: 415–438

    Article  MathSciNet  Google Scholar 

  • Seber G, Wild C (1989) Nonlinear Regression. Wiley, New York

    MATH  Google Scholar 

  • Shea G (1984) Pitfalls from Smoothing Interest Rate Term Structure Data: Equilibrium Models and Spline Approximations. Journal of Financial and Quantitative Analysis 19: 253–269

    Article  Google Scholar 

  • Shiller R (1990) The Term Structure of Interest Rates. In: Handbook of Monetary Economics, Eds.: Friedman B, Hahn F, North-Holland, Amsterdam, 627–722

    Google Scholar 

  • Van Horne J (1990) Financial Market Rates and Flows, 3rd edn. Prentice-Hall, Englewood Cliffs

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. Dipl.-Stat. Michael Schulze Lehrstuhl für Finanzierung, Universität Mannheim, Schloß, 6800, Mannheim, Germany

    W. Bühler & M. Schulze

Authors
  1. W. Bühler
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. M. Schulze
    View author publications

    You can also search for this author in PubMed Google Scholar

Additional information

Research support from the Deutsche Forschungsgemeinschaft under the project Bu 671-2 within the Schwerpunktprogramm “Empirische Kapitalmarktforschung” is gratefully acknowledged. Comments by the editor, G. Bamberg, on an earlier version of this paper are very much appreciated.

Rights and permissions

Reprints and permissions

About this article

Cite this article

Bühler, W., Schulze, M. Estimation of the transition behaviour of term structures of interest rates. Statistical Papers 32, 281–297 (1991). https://doi.org/10.1007/BF02925503

Download citation

  • Received:

  • Revised:

  • Issue Date:

  • DOI: https://doi.org/10.1007/BF02925503

Keywords

Search

Navigation