The structure of spot rates and immunization: Some further results

Eliseo Navarro () and Juan M. Nave ()
Additional contact information
Eliseo Navarro: Universidad de Castilla-la Mancha, Facultad de Ciencias Económicas, Área de Economía Financiera, Plaza de la Universidad, 1, 02071 Albacete, Spain
Juan M. Nave: Universidad de Castilla-la Mancha, Facultad de Ciencias Económicas, Área de Economía Financiera, Plaza de la Universidad, 1, 02071 Albacete, Spain

Spanish Economic Review, 2001, vol. 3, issue 4, 273-294

Abstract: This paper estimates and tests a two-factor model of the term structure of interest rates based on the methodology developed by Elton, Gruber and Michaelly (1990) in an APT context. The model is then enlarged to allow its use for interest rate risk measurement through a duration vector. The results of the model using in-sample data are consistent with those obtained by Principal Components Analysis to explain the term structure behaviour. Finally, the model is tested using out-of-sample data, showing its superiority over a competing model based on the traditional Macaulay's duration.

Keywords: Term structure of interest rates; duration vector; immunization; APT (search for similar items in EconPapers)
Date: 2001-12-17
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://link.springer.de/link/service/journals/10108/papers/1003004/10030273.pdf (application/pdf)
Access to the full text of the articles in this series is restricted

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:spr:specre:v:3:y:2001:i:4:p:273-294

Ordering information: This journal article can be ordered from
http://www.springer. ... etailsPage=societies

Access Statistics for this article

Spanish Economic Review is currently edited by Eduardo Ley

More articles in Spanish Economic Review from Springer, Spanish Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().