Sammenlign metoder
Gennemgå dine valgte metoder side om side; rækker, der afviger, er fremhævet.
| Rente-modeller (Vasicek, CIR, Nelson-Siegel)× | Almindelig mindste kvadraters metode (OLS) regression× | |
|---|---|---|
| Fagområde≠ | Finansiering | Økonometri |
| Familie | Regression model | Regression model |
| Oprindelsesår≠ | 1977 | 2019 |
| Ophavsperson≠ | Vasicek (1977); Nelson & Siegel (1987) | Wooldridge (textbook treatment); classical least squares |
| Type≠ | Term-structure / short-rate model | Linear regression |
| Oprindelig kilde≠ | 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 |
| Aliasser≠ | term structure models, short-rate models, yield curve models, Vasicek model | ordinary least squares, classical linear regression, linear regression, en küçük kareler regresyonu |
| Relaterede | 5 | 5 |
| Resumé≠ | 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). |
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