Compara mètodes
Revisa els mètodes seleccionats l'un al costat de l'altre; les files que difereixen es ressalten.
| Models de tipus d'interès (Vasicek, CIR, Nelson-Siegel)× | Regressió per Mínims Quadrats Ordinàris (MQO)× | |
|---|---|---|
| Camp≠ | Finances | Econometria |
| Família | Regression model | Regression model |
| Any d'origen≠ | 1977 | 2019 |
| Autor original≠ | Vasicek (1977); Nelson & Siegel (1987) | Wooldridge (textbook treatment); classical least squares |
| Tipus≠ | Term-structure / short-rate model | Linear regression |
| Font seminal≠ | Vasicek, O. (1977). An Equilibrium Characterization of the Term Structure. Journal of Financial Economics, 5(2), 177–188. DOI ↗ | Wooldridge, J. M. (2019). Introductory Econometrics: A Modern Approach (7th ed.). Cengage Learning. ISBN: 978-1337558860 |
| Àlies≠ | term structure models, short-rate models, yield curve models, Vasicek model | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| Relacionats | 5 | 5 |
| Resum≠ | Interest rate models are structural models that describe how interest rates evolve over time within a stochastic differential equation framework. The family covers Vasicek's normal short-rate process (1977), the CIR square-root process, the adjustable Hull-White extension, and the Nelson-Siegel approach to fitting the yield curve (1987). | Ordinary Least Squares is the classical linear regression method that explains a continuous outcome as a linear combination of predictors. It estimates the coefficients by minimising the sum of squared residuals, and under the Gauss-Markov assumptions these estimates are the best linear unbiased estimator (BLUE). |
| ScholarGateConjunt de dades ↗ |
|
|