MODELLING AUSTRALIAN BANK BILL RATES: A KALMAN FILTER APPROACH
作者:
Ramaprasad Bhar,
期刊:
Accounting&Finance
(WILEY Available online 1996)
卷期:
Volume 36,
issue 1
页码: 1-14
ISSN:0810-5391
年代: 1996
DOI:10.1111/j.1467-629X.1996.tb00295.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
AbstractThis paper examines the applicability of the Kalman Filter technique to forecast future spot interest rates, based upon the expectation hypothesis of the term structure of interest rates, in the Australian bank bill market. In this approach, regression estimates are based on the last period's estimate together with data from the current period. In contrast to constant parameter models, this allows effective use of information underlying the process driving the evolution of the parameters. For the period tested, forecasting accuracy of such a time‐varying parameter model shows marked improvement over a constant parameter mode
点击下载:
PDF
(1672KB)
返 回