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Ein neuer Ansatz zur Bestimmung der Zinsstruktur

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Uhrig, M., Walter, U. Ein neuer Ansatz zur Bestimmung der Zinsstruktur. . Theorie und empirische Ergebnisse für den deutschen Rentenmarkt. Credit and Capital Markets – Kredit und Kapital, 30(1), 116-139. https://doi.org/10.3790/ccm.30.1.116
Uhrig, Marliese and Walter, Ulrich "Ein neuer Ansatz zur Bestimmung der Zinsstruktur. Theorie und empirische Ergebnisse für den deutschen Rentenmarkt. " Credit and Capital Markets – Kredit und Kapital 30.1, 1997, 116-139. https://doi.org/10.3790/ccm.30.1.116
Uhrig, Marliese/Walter, Ulrich (1997): Ein neuer Ansatz zur Bestimmung der Zinsstruktur, in: Credit and Capital Markets – Kredit und Kapital, vol. 30, iss. 1, 116-139, [online] https://doi.org/10.3790/ccm.30.1.116

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Ein neuer Ansatz zur Bestimmung der Zinsstruktur

Theorie und empirische Ergebnisse für den deutschen Rentenmarkt

Uhrig, Marliese | Walter, Ulrich

Credit and Capital Markets – Kredit und Kapital, Vol. 30 (1997), Iss. 1 : pp. 116–139

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Marliese Uhrig, Mannheim und Frankfurt/Main

Ulrich Walter, Mannheim und Frankfurt/Main

References

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Abstract

A New Approach for Determining the Term Structure of Interest Rates. Theory and Empirical Results for the German Bond Market

In this paper we introduce a two-step procedure for the estimation of the term structure of interest rates. In the first step we use a quadratic-linear programming approach in order to determine a discrete discount function. If higher standards are demanded, e.g. a term structure which is several times continuously differentiable, we approximate the corresponding discrete term structure in a second step with splines. Subsequent to a discussion of the procedure, the proposed method is applied within an empirical study for the German market for the sample period 1980 through 1993. The empirical results emphasize the explanatory power of the proposed method. In particular, an out-of-the-sample test proofs the high quality of the method for pricing new issues