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dc.contributor.authorDíaz, Antonio
dc.contributor.authorJareño Cebrián, Francisco
dc.contributor.authorNavarro, Eliseo
dc.date.accessioned2019-11-19T19:09:10Z
dc.date.available2019-11-19T19:09:10Z
dc.date.issued2019-10-25
dc.identifier.citationEconomic Research. 2019, 32(1), 3987-4014es_ES
dc.identifier.urihttp://hdl.handle.net/10578/22639
dc.description.abstractThe zero-coupon yield curve is a common input for most financial purposes. We consider three popular yield curve datasets and explore the extent to which the decision as to what dataset to use for a particular application may have an impact on the results. Many term structure papers evaluate alternative models for estimating zero coupon bonds based on their ability to replicate bond prices. However, in this paper we take a step forward by analyzing the consequences of using these alternative datasets in estimates of other moments and variables such as interest rate volatilities or the resulting forward rates and their correlations. After finding significant differences, we also explore the existence of volatility spillover effects among these three datasets. Finally, we illustrate the relevance of the choice of one particular dataset by examining the differences that may arise when testing the expectations hypothesis. In the conclusions, we provide guidance to end users in selecting a particular dataset.es_ES
dc.formatapplication/pdfes_ES
dc.language.isoenes_ES
dc.publisherTaylor & Francis Onlinees_ES
dc.rightsinfo:eu-repo/semantics/openAccesses_ES
dc.subjectTerm Structurees_ES
dc.subjectYield Curvees_ES
dc.subjectDataes_ES
dc.subjectVolatilityes_ES
dc.subjectForward rateses_ES
dc.subjectCorrelation Expectationses_ES
dc.subjectHypothesises_ES
dc.titleZero-coupon interest rates: Evaluating three alternative datasetses_ES
dc.typeinfo:eu-repo/semantics/articlees_ES
dc.identifier.DOIhttps://doi.org/10.1080/1331677X.2019.1670713


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