Sökning: "Syed Fazal Hussain Shah"

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  1. 1. A Further Look at Short –Term Interest Rate Dynamics

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Syed Fazal Hussain Shah; [2010-06-01]
    Nyckelord :short-rate interest rate; one-factor interest rate models; parametric estimation; maximum likelihood; Euler approximation;

    Sammanfattning : Short-term interest rate analysis is one of the most important topics in finance and economics. This paper looks at short-term interest rate dynamics using three different interest rate proxies with different maturities, one-month Eurodollar deposit rate, overnight Federal Funds rate, and Three-month Treasury bill yield under one flexible parametric specifications. LÄS MER