Anatolyev, Stanislav and Sergey Korepanov (2003) “The term structure of Russian interest rates”, Applied Economics Letters, Vol. 10, No. 13, pp. 867–870
Using the series of Moscow Interbank Offer Rates, this paper estimates a flexible parametrization of the diffusion process following the approach of Aït-Sahalia (1996) of matching parametric and nonparametric estimates of the marginal density. On the basis of the estimated model, the implied term structure using simulations is computed.
Paper in RePEc:
Paper in accepted version:
Data used in the paper:
MIBOR rate, outliers removed
Koukouritakis, M. and L. Michelis (2008) "The term structure of interest rates in the 12 newest EU countries", Applied Economics 40 (4), 479-490.