• search hit 15 of 25
Back to Result List

From structural assumptions to a link between assets and interest rates

Please always quote using this URN:urn:nbn:de:0296-matheon-1462
  • We derive a link between the short rate and a new index constructed in a multiasset economy. This uses two structural assumptions: The volatility structure of the assets is rigidly spherical , and the short rate function is homogeneous of degree 0. We give clear motivations for the assumptions, and our main result is economically intuitive and testable from observed data. A preliminary empirical study illustrates how one can test such results.

Download full text files

Export metadata

Additional Services

Share in Twitter Search Google Scholar
Metadaten
Author:Oliver Reiss, John Schoenmakers, Martin Schweizer
URN:urn:nbn:de:0296-matheon-1462
Referee:Anton Bovier
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2004/09/06
Release Date:2004/07/06
Preprint Number:136
Verstanden ✔
Diese Webseite verwendet technisch erforderliche Session-Cookies. Durch die weitere Nutzung der Webseite stimmen Sie diesem zu. Unsere Datenschutzerklärung finden Sie hier.