Pregled bibliografske jedinice broj: 32435
An Application of the Cox, Ingersoll, Ross model to the Croatian Government securities market
An Application of the Cox, Ingersoll, Ross model to the Croatian Government securities market // Proceedings of the 7th International Conference on Operational Research / Aganović. I. ; Hunjak, T. ; Scitovski, R. (ur.).
Osijek: Hrvatsko društvo za operacijska istraživanja (CRORS), 1999. str. 75-82 (predavanje, međunarodna recenzija, cjeloviti rad (in extenso), znanstveni)
CROSBI ID: 32435 Za ispravke kontaktirajte CROSBI podršku putem web obrasca
Naslov
An Application of the Cox, Ingersoll, Ross model to the Croatian Government securities market
Autori
Aljinović, Zdravka ; Jovanović, Snježana
Vrsta, podvrsta i kategorija rada
Radovi u zbornicima skupova, cjeloviti rad (in extenso), znanstveni
Izvornik
Proceedings of the 7th International Conference on Operational Research
/ Aganović. I. ; Hunjak, T. ; Scitovski, R. - Osijek : Hrvatsko društvo za operacijska istraživanja (CRORS), 1999, 75-82
Skup
7th International Conference on Operational Research
Mjesto i datum
Rovinj, Hrvatska, 30.09.1998. - 02.10.1998
Vrsta sudjelovanja
Predavanje
Vrsta recenzije
Međunarodna recenzija
Ključne riječi
term structure of interest rates; CIR model; Croatian Government bonds; parameters estimation; yield curve
Sažetak
After a simple intuitive derivation of the single-factor Cox, Ingersoll and Ross (CIR) model of the term structure, it is used to extract the term structure of interest rates from observed prices of (fixed rate) Croatian Government bonds. We assume, as it model requires, that the risk of default can be ignored. The parameters of the model and the spot rate value are estimated using cross-sections of prices for two dates. The resulting yield curves, corresponding to the estimated parameters, are so-called inverse yield curves, for both dates.
Izvorni jezik
Engleski
Znanstvena područja
Ekonomija
POVEZANOST RADA
