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Predictability of Interest Rates : An Analysis Using Dynamic Term Structure Models

Research Project

Project/Area Number 21730170
Research Category

Grant-in-Aid for Young Scientists (B)

Allocation TypeSingle-year Grants
Research Field Economic statistics
Research InstitutionUniversity of Tsukuba

Principal Investigator

TAKAMIZAWA Hideyuki  University of Tsukuba, 大学院・人文社会科学研究科, 准教授 (60361854)

Project Period (FY) 2009 – 2010
Project Status Completed (Fiscal Year 2010)
Budget Amount *help
¥910,000 (Direct Cost: ¥700,000、Indirect Cost: ¥210,000)
Fiscal Year 2010: ¥390,000 (Direct Cost: ¥300,000、Indirect Cost: ¥90,000)
Fiscal Year 2009: ¥520,000 (Direct Cost: ¥400,000、Indirect Cost: ¥120,000)
Keywords計量ファイナンス / 金利期間構造 / イールドカーブ / ボラティリティ / オプション / 予測
Research Abstract

Existing dynamic term structure models have restrictions necessary for deriving bond prices in closed-form under non-arbitrage conditions, which, however, deteriorate the predictive power to the level and volatility of interest rates. This study removes such restrictions by relying on an accurate approximation method. By specifying the volatility as nonlinear functions of interest rate levels, the proposed models exhibit higher predictive power than the existing restrictive models. In addition, by combining the volatility forecast of the proposed models with that of time-series models such as GARCH, it is confirmed that the predictive power further increases.

Report

(3 results)
  • 2010 Annual Research Report   Final Research Report ( PDF )
  • 2009 Annual Research Report
  • Research Products

    (12 results)

All 2011 2010 2009 Other

All Journal Article (5 results) Presentation (4 results) Remarks (3 results)

  • [Journal Article] An Approxi- mation of European Option Prices under General Diffusion Processes2011

    • Author(s)
      Takamizawa, Hideyuki
    • Journal Title

      Tsukuba Economics Working Papers No.2009-08

      Pages: 1-25

    • URL

      http://www.econ.tsukuba.ac.jp/RePEc/2009-008.pdf

    • Related Report
      2010 Final Research Report
  • [Journal Article] An Approximation of European Option Prices under General Diffusion Processes2011

    • Author(s)
      Hideyuki Takamizawa
    • Journal Title

      Tsukuba Economics Working Papers

      Volume: No.2009-08 Pages: 1-25

    • Related Report
      2010 Annual Research Report
  • [Journal Article] Term Structure Models Can Predict Interest Rate Volatility. But How?2010

    • Author(s)
      Takamizawa, Hideyuki
    • Journal Title

      Tsukuba Economics Working Papers No.2010-08

      Pages: 1-80

    • URL

      http://www.econ.tsukuba.ac.jp/RePEc/2010-008.pdf

    • Related Report
      2010 Final Research Report
  • [Journal Article] Term Structure Models Can Predict Interest Rate Volatility. But How?2010

    • Author(s)
      Hideyuki Takamizawa
    • Journal Title

      Tsukuba Economics Working Papers

      Volume: No.2010-08 Pages: 1-80

    • Related Report
      2010 Annual Research Report
  • [Journal Article] Fast Computation of European Option Prices via Approximation to their Fourier Transform2009

    • Author(s)
      Hideyuki Takamizawa
    • Journal Title

      Tsukuba Economics Working Papers No.2009-08

      Pages: 1-32

    • Related Report
      2009 Annual Research Report
  • [Presentation] Interest Rate Volatility Implicit in Term Structure Data2010

    • Author(s)
      高見澤秀幸
    • Organizer
      一橋大学商学研究科 第7回金融研究会
    • Place of Presentation
      一橋大学
    • Year and Date
      2010-09-23
    • Related Report
      2010 Annual Research Report 2010 Final Research Report
  • [Presentation] Interest Rate Volatility Implicit in Term Structure Data2009

    • Author(s)
      高見澤秀幸
    • Organizer
      一橋大学・経済統計ワークショップ(cfeeと共催)
    • Place of Presentation
      一橋大学
    • Year and Date
      2009-10-16
    • Related Report
      2010 Final Research Report
  • [Presentation] Interest Rate Volatility Implicit in Term Structure Data2009

    • Author(s)
      高見澤秀幸
    • Organizer
      一橋大学・経済統計ワークショップ(cfee と共催)
    • Place of Presentation
      一橋大学
    • Year and Date
      2009-10-16
    • Related Report
      2009 Annual Research Report
  • [Presentation] 非線形金利期間構造モデルの近似2009

    • Author(s)
      高見澤秀幸
    • Organizer
      一橋大学・国際企業戦略研究科金融戦略・経営財務コース 研究ワークショップ
    • Place of Presentation
      一橋大学
    • Year and Date
      2009-07-21
    • Related Report
      2010 Final Research Report 2009 Annual Research Report
  • [Remarks] ホームページ等

    • URL

      http://www.social.tsukuba.ac.jp/~takamiza/

    • Related Report
      2010 Final Research Report
  • [Remarks]

    • URL

      http://www.social.tsukuba.ac.jp/~takamiza/

    • Related Report
      2010 Annual Research Report
  • [Remarks]

    • URL

      http://www.social.tsukuba.ac.jp/~takamiza/

    • Related Report
      2009 Annual Research Report

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Published: 2009-04-01   Modified: 2016-04-21  

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