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Kısa Dönem Faiz Modellerinin Türkiye İçin Ampirik Analizi

Year 2009, Volume: 3 Issue: 2, 107 - 120, 01.12.2009

References

  • Hansen L.P.. (1982). Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50(4), 1029-54.
  • Haugh, M. (2005). Term Structure Models: IEOR E4710 Spring 2005 Lecture notes.
  • Hull, J. ve A. White.. (1990). Pricing Interest-Rate Derivative Securities. Review of Financial Studies, 3, 573-595.
  • Hull, J. ve A. White. (1994a). Numerical procedures for implementing term structure models I: Single Factor Models. Journal of Derivatives, 2,1, 7-16.
  • Hull, J. ve A. White. (1994b). Numerical procedures for implementing term structure models II: Two-Factor Models. Journal of Derivatives, 2,1, 7-16.
  • Jiang G. J.ve Knight J. L..(1997). A Nonparametric Approach to the Estimation of Diffusion Processes, with an Application to a Short-Term Interest Rate Model. Econometric Theory, 13, 5, 615-645
  • Longstaff, F. A. ve Schwartz, E. S.. (1992). Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model. Journal of Finance, 47:4, 1259-82.
  • Merton, R. C. (1973). Theory of Rational Option Pricing. Bell Journal of Economics and Management Science, 4 (1), 141-183.
  • Nelson C. H. ve A. F. Siegel. (1987). Parsimonious Modeling of Yield Curves. Journal of Business, 60, 473-489.
  • Nowman, K. B.. (1998). Continuous Time Short Term Interest Rate Models. Applied Financial Economics, 8, 401-407.
  • Pagan, A.. (1996). The econometrics of financial markets.Journal of Empirical Finance, 3, 15-102.
  • Stanton, R. (1997). A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk. Journal of Finance, 52, 5,1973-2002
  • Vasicek, O. (1977). An Equilibrium Characterization of The Term Structure. Journal of Financial Economics, 177-188.

An Empirical Analysis of Short Term Interest Rate Models for Turkey

Year 2009, Volume: 3 Issue: 2, 107 - 120, 01.12.2009

References

  • Hansen L.P.. (1982). Large Sample Properties of Generalized Method of Moments Estimators. Econometrica, 50(4), 1029-54.
  • Haugh, M. (2005). Term Structure Models: IEOR E4710 Spring 2005 Lecture notes.
  • Hull, J. ve A. White.. (1990). Pricing Interest-Rate Derivative Securities. Review of Financial Studies, 3, 573-595.
  • Hull, J. ve A. White. (1994a). Numerical procedures for implementing term structure models I: Single Factor Models. Journal of Derivatives, 2,1, 7-16.
  • Hull, J. ve A. White. (1994b). Numerical procedures for implementing term structure models II: Two-Factor Models. Journal of Derivatives, 2,1, 7-16.
  • Jiang G. J.ve Knight J. L..(1997). A Nonparametric Approach to the Estimation of Diffusion Processes, with an Application to a Short-Term Interest Rate Model. Econometric Theory, 13, 5, 615-645
  • Longstaff, F. A. ve Schwartz, E. S.. (1992). Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model. Journal of Finance, 47:4, 1259-82.
  • Merton, R. C. (1973). Theory of Rational Option Pricing. Bell Journal of Economics and Management Science, 4 (1), 141-183.
  • Nelson C. H. ve A. F. Siegel. (1987). Parsimonious Modeling of Yield Curves. Journal of Business, 60, 473-489.
  • Nowman, K. B.. (1998). Continuous Time Short Term Interest Rate Models. Applied Financial Economics, 8, 401-407.
  • Pagan, A.. (1996). The econometrics of financial markets.Journal of Empirical Finance, 3, 15-102.
  • Stanton, R. (1997). A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk. Journal of Finance, 52, 5,1973-2002
  • Vasicek, O. (1977). An Equilibrium Characterization of The Term Structure. Journal of Financial Economics, 177-188.
There are 13 citations in total.

Details

Primary Language Turkish
Journal Section Research Article
Authors

Hasan Şahin This is me

İsmail H. Genç This is me

Publication Date December 1, 2009
Published in Issue Year 2009 Volume: 3 Issue: 2

Cite

APA Şahin, H., & Genç, İ. H. (2009). Kısa Dönem Faiz Modellerinin Türkiye İçin Ampirik Analizi. BDDK Bankacılık Ve Finansal Piyasalar Dergisi, 3(2), 107-120.