政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/154109

English | 正體中文 | 简体中文 | Post-Print筆數 : 27 | Items with full text/Total items : 113325/144300 (79%)
Visitors : 51129602 Online Users : 410

RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.

Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer

政大機構典藏 > 商學院 > 金融學系 > 期刊論文 > Item 140.119/154109

Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/154109

Title:	What drives jumps in the secured Overnight Financing Rate? Evidence from the arbitrage-free Nelson–Siegel model with jump diffusion
Authors:	方東杰 Fang, Dong-Jie;Yeh, Zong-Wei;He, Jie-Cao;Lin, Shih-Kuei
Contributors:	金融博六
Keywords:	Secured Overnight Financing Rate (SOFR);SOFR futures;Arbitrage-free Nelson–Siegel model with jump diffusion (AFNSJ);Federal Open Market Committee (FOMC) meeting;Particle filter
Date:	2024-09
Issue Date:	2024-10-28 11:42:40 (UTC+8)
Abstract:	In this paper, the arbitrage-free Nelson–Siegel (NS) model with jump diffusion (AFNSJ) is proposed to describe the Secured Overnight Financing Rate (SOFR). The parameters of this model are estimated through particle filtering conducted with a weighted maximum likelihood estimation approach. The empirical results of this study indicate that the AFNSJ outperforms the arbitrage-free NS model in fitting market data. SOFR jumps are highly related to Federal Open Market Committee meetings. Moreover, even under different interest rate changes, these jumps are mainly driven by a short-term factor. The risk adjustment term can suitably capture changes in the US Federal Reserve rate caused by the jump risk component.
Relation:	Pacific-Basin Finance Journal, Vol.86, 102392, pp.1-21
Data Type:	article
DOI 連結:	https://doi.org/10.1016/j.pacfin.2024.102392
DOI:	10.1016/j.pacfin.2024.102392
Appears in Collections:	[金融學系] 期刊論文

Files in This Item:

File	Description	Size	Format
index.html		0Kb	HTML	41	View/Open

社群 sharing

著作權政策宣告 Copyright Announcement

1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.

Loading...