122,501 research outputs found
A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models
No full textResearch on the Heath-Jarrow-Morton (1992) term structure models so far has focused on the class having time-deterministic instantaneous forward rate volatility. In this case the forward rate is Markovian, even if the spot rate process is not. However, this Markovian feature can only be used under the historical measure, involving two unsatisfactory assumptions: one on market price risk, usually made for pure mathematical tractability, the other to use futures yields as a proxy for the instantaneous forward rate, which may result in estimation bias. This paper circumvents both of these assumptions. First, the bias is quantified and shown to be non-negligible. Then futures contracts are treated as derivative instruments written on forward rates to derive the full information maximum likelihood estimator for observable futures prices, using both time series and cross-sectional data, without the need to assume and estimate any functional forms for the market price of interest rate risk. The derivation involves the likelihood transformation method of Duan (1994). The method is then applied to the estimation of a humped forward rate volatility model for Eurodollar futures series traded on the Chicago Mercantile Exchange.term structure; heath-jarrow-morton; time-deterministic forward volatility; humped forward volatility model; full information maximum likelihood
Morton, Frank
No full textMorton, Frank (Maybe) Note: This is not the son of Dr. V. Morton Jones (Father of Researcher) as identified by Franklin Morton, Jr. (who visited the Center)https://dh.howard.edu/sfp_photos/1233/thumbnail.jp
Morton v. Pasmore
No full textA legal document where the late Jacob Morton and Thoams Morton are summoned to answer John Pasmore to pay a debt of Four hundred and forty-four pounds, thirteen shillings, and eight pence. Bill Obligatories confirming different amounts were signed by Jacob and Thomas Morton for multiple debts. John is suing them both for denying payment and for ten pounds in damages
Morton v. Pasmore
No full textA legal document where the late Jacob Morton and Thoams Morton are summoned to answer John Pasmore to pay a debt of Four hundred and forty-four pounds, thirteen shillings, and eight pence. Bill Obligatories confirming different amounts were signed by Jacob and Thomas Morton for multiple debts. John is suing them both for denying payment and for ten pounds in damages
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In subsidium: the declining contribution of Germany and Eastern Europe to the Crusades to the Holy Land, 1221-91
No full text"Though for a short time the Lord had forsaken it [the Holy Land], with great mercy he gathered together his children and restored the whole land's people from men of different races and diverse languages and nations, so that therein the prophecy seemed to be fulfilled: 'Thy sons shall come from far, and thy daughters shall be nursed by thy side'. [As] he observed and drew [them] together, his heart wondered and he was glad when [many] had been directed to him across the great sea, especially those of Genoa, Venice and Pisa. The strength of the nations came to him, especially from France and Germany.
Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets
No full textThis paper considers a class of Heath-Jarrow-Morton (1992) term structure models, characterized by time deterministic volatilities for the instantaneous forward rate. The bias that arises from using observed futures yields as a proxy for the unobserved instantaneous forward rate is analyzed. The fact that futures contracts can be viewed as derivative instruments on the forward rate is used to determine the likelihood function for futures prices. The likelihood transformation method of Duan (1994) is then used to obtain the full information maximum likelihood estimator for the observable futures prices. The approach is applied to estimate the volatility structure implied by futures contracts traded on the Chicago Mercantile Exchange.Term structure; Heath-Jarrow-Morton; Yield curve; Forward rate volatility function; Estimation bias; FIML; Likelihood transformation; Futures contracts
Morton, Robert, 54644
No full textThis record was harvested from a previous catalogue system and will be withdrawn in 2025. Information in this record may be superseded or incomplete. Visit this record in UMA's new catalogue at: https://archives.library.unimelb.edu.au/nodes/view/406359Surname: MORTON. Given Name(s) or Initials: ROBERT. Military Service Number or Last Known Location: 54644. Missing, Wounded and Prisoner of War Enquiry Card Index Number: V-1005.247537
Item: [2016.0049.38636] "Morton, Robert, 54644
author-bios-SRD-19-0063.R1 – Supplemental material for The Network Structure of Police Misconduct
No full textSupplemental material, author-bios-SRD-19-0063.R1 for The Network Structure of Police Misconduct by George Wood, Daria Roithmayr and Andrew V. Papachristos in Socius</p
Dryopteris disjuncta C. V. Morton
No full textD. disjuncta (Rupr.) C. V. Morton (D. Linnaeana Christensen, A. Dryopteris Baumg Ph. Dryopteris Fée) Cat. 417. Bis 2220 m. l: Outanne (J.); Gueuroz (J.); Glaciere du Feyley bei Ravoire (F.); zwischen Combe de Martigny und Le Cergneux (Closuit); Outre-Rhone (Garns). - 2: Ob Fully, bis 2100 m (Garns); Lens (Besse). - 3: Le Clou ob Bovernier (F.); Arpette (J.); Mauvoisin (J.); ob Iserables (J.); Pralong (J.); Zinal (Roch, Sulger); ob Gruben (J.); ob Törbel (Stehler); ob Randa, 1680 m (Huber); Zermatt (versch.Beobachter),bisFindelen,2220m(Thellung); oberes Saastal häufig(Hirschmann).- 3a: Alpien, 1750 m (Chiovenda); Zwischbergental (Becherer). - 4: Binntal: Binn (P.), Binn- Kühstaffel,Maniboden,Heiligkreuz, Längtal (alles: Binz); Münstigertal (Zwicky).Published as part of Becherer, 1956, Florae Vallesiacae Supplementum, pp. 1-556 in Denkschriften der Schweizerischen Naturforschenden Gesellschaft 71 on pages 1-55
The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach
No full textThis paper considers the dynamics for interest rate processes within a multi-factor Heath, Jarrow and Morton (1992) specification. Despite the flexibility of and the notable advances in theoretical research about the HJM models, the number of empirical studies is still inadequate. This paucity is principally because of the difficulties in estimating models in this class, which are not only high-dimensional, but also nonlinear and involve latent state variables. This paper treats the estimation of a fairly broad class of HJM models as a nonlinear filtering problem, and adopts the local linearization filter of Jimenez and Ozaki (2003), which is known to have some desirable statistical and numerical features, to estimate the model via the maximum likelihood method. The estimator is then applied to the interbank offered-rates of the U.S, U.K, Australian and Japanese markets. The two-factor model, with the factors being the level and the slope effect, is found to be a reasonable choice for all of the markets. However, the contribution of each factor towards overall variability of the interest rates and the financial reward each factor claims differ considerably from one market to another.term structure; Heath-Jarrow-Morton; local linearization; filtering
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