BibTex RIS Kaynak Göster

Kısa Dönem Faiz Modellerinin Türkiye İçin Ampirik Analizi

Yıl 2009, Cilt: 3 Sayı: 2, 107 - 120, 01.12.2009

Hasan Şahin İsmail H. Genç

Anahtar Kelimeler

Short term interest rates models term structure model comparison GMM.

Kaynakça

  • 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

Yıl 2009, Cilt: 3 Sayı: 2, 107 - 120, 01.12.2009

Hasan Şahin İsmail H. Genç

Anahtar Kelimeler

Short term interest rates models term structure model comparison GMM

Kaynakça

  • 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.
Toplam 13 adet kaynakça vardır.

Ayrıntılar

Birincil Dil Türkçe
Bölüm Research Article
Yazarlar

Hasan Şahin Bu kişi benim

İsmail H. Genç Bu kişi benim

Yayımlanma Tarihi 1 Aralık 2009
Yayımlandığı Sayı Yıl 2009 Cilt: 3 Sayı: 2

Kaynak Göster

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.