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    题名: What drives jumps in the secured Overnight Financing Rate? Evidence from the arbitrage-free Nelson–Siegel model with jump diffusion
    作者: 林士貴;方東杰
    Fang, Dong-Jie;Yeh, Zong-Wei;He, Jie-Cao;Lin, Shih-Kuei
    贡献者: 金融系
    关键词: Secured Overnight Financing Rate (SOFR);SOFR futures;Arbitrage-free Nelson–Siegel model with jump diffusion (AFNSJ);Federal Open Market Committee (FOMC) meeting;Particle filter
    日期: 2024-09
    上传时间: 2024-10-28 11:42:40 (UTC+8)
    摘要: 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.
    關聯: Pacific-Basin Finance Journal, Vol.86, 102392, pp.1-21
    数据类型: article
    DOI 連結: https://doi.org/10.1016/j.pacfin.2024.102392
    DOI: 10.1016/j.pacfin.2024.102392
    显示于类别:[金融學系] 期刊論文

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