YIELD CURVE ESTIMATION IN THE ILLIQUID MARKET: FRAMEWORK, MODELS AND EMPIRICAL STUDY

Chi Xie (), Hui Chen and Xiang Yu ()
Additional contact information
Chi Xie: College of Business Management, Hunan University, Changsha, Hunan, 410082, China
Hui Chen: College of Business Management, Hunan University, Changsha, Hunan, 410082, China
Xiang Yu: College of Business Management, Hunan University, Changsha, Hunan, 410082, China

International Journal of Information Technology & Decision Making (IJITDM), 2006, vol. 05, issue 03, 467-481

Abstract: In this paper, we propose a framework to estimate the yield curve in the illiquid market. Within this framework, seven different curve-fitting models are compared from four aspects with the trading data of government bonds listed in the Shanghai Stock Exchange (SSE) of China. We find that the exponential spline model is optimal for this market. The characteristics and reasons underlying SSE interest rate fluctuations in the past two years are also analyzed.

Keywords: Illiquid market; yield curve of the government bond; curve fitting (search for similar items in EconPapers)
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219622006002064
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijitdm:v:05:y:2006:i:03:n:s0219622006002064

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219622006002064

Access Statistics for this article

International Journal of Information Technology & Decision Making (IJITDM) is currently edited by Yong Shi

More articles in International Journal of Information Technology & Decision Making (IJITDM) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().