Jie-Min Huang, Su-Sheng Wang, Jie-Yong Huang, "The Term Structure Model of Corporate Bond Yields," WSEAS Transactions on Systems, vol. 12, pp. -, 2013, DOI:
Jie-Min Huang, Su-Sheng Wang, Jie-Yong Huang. The Term Structure Model of Corporate Bond Yields.
WSEAS Transactions on Systems. 2013;12:-.
WSEAS Transactions on Systems
Print ISSN: 1109-2777, E-ISSN: 2224-2678
Volume 12, 2013
The Term Structure Model of Corporate Bond Yields
Authors: , ,
Abstract: We build the term structure of corporate bond yields with N-factor affine model, and we estimate the parameters by using Kalman filtering. We choose weekly average corporate bond yields data in Shanghai Stock Exchange and Shenzhen Stock Exchange. We find the one-factor model and two-factor model could do one-step forward forecasting well, but the three-factor model could fit the observable data well.
Pages: - WSEAS Transactions on Systems, ISSN / E-ISSN: 1109-2777 / 2224-2678, Volume 12, 2013DOI: *As the DOI is a unique identifier, it is already available in the pdf version.
**The DOI link will be activated in the first midst of January 2026.
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