State-space estimation of multi-factor models of the term structure : application to Government of Jamaica bonds (Record no. 56797)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 00872nam a2200145Ia 4500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20260716043922.0 |
| 080 ## - UNIVERSAL DECIMAL CLASSIFICATION NUMBER | |
| Universal Decimal Classification number | 11.02.01 M742la(2006) |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Langrin, R. Brian |
| 245 ## - TITLE STATEMENT | |
| Title | State-space estimation of multi-factor models of the term structure : application to Government of Jamaica bonds |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Name of publisher, distributor, etc. | [Caribbean Centre for Money & Finance] |
| Place of publication, distribution, etc. | [St. Augustine]TT |
| Date of publication, distribution, etc. | 2006 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 31 p. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Estimates two famous equilibrium models of the term structure of interest rates using zero-coupon Government of Jamaica sovereign bonds for the period 24 September 2004 to 28 July 2006. Seeks to explain the yield curve dynamics in Jamaica in order to derive information on investor expectation to support monetary and fiscal policy objectives as well as to accurately price bonds and hedging instruments. |
| 583 ## - ACTION NOTE | |
| Time/date of action | 11/27/08 |
| Action agent | JOYD |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | Monograph |
| Call number suffix | M742la(2006) |
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