Estimation af Multifaktor Affine Rentestruktur Modeller ved Kalman ...
Estimation af Multifaktor Affine Rentestruktur Modeller ved Kalman ...
Estimation af Multifaktor Affine Rentestruktur Modeller ved Kalman ...
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35<br />
1 mdr. 3 mdr. 1 ˚ar 2 ˚ar 3 ˚ar 5 ˚ar 7 ˚ar 10 ˚ar 15 ˚ar 30 ˚ar<br />
1 mdr. 1.000<br />
3 mdr. 0.994 1.000<br />
1 ˚ar 0.942 0.971 1.000<br />
2 ˚ar 0.886 0.921 0.982 1.000<br />
3 ˚ar 0.830 0.866 0.942 0.987 1.000<br />
5 ˚ar 0.731 0.765 0.851 0.928 0.974 1.000<br />
7 ˚ar 0.655 0.686 0.774 0.865 0.931 0.989 1.000<br />
10 ˚ar 0.578 0.605 0.692 0.793 0.874 0.959 0.990 1.000<br />
15 ˚ar 0.509 0.532 0.617 0.723 0.814 0.918 0.964 0.991 1.000<br />
30 ˚ar 0.453 0.473 0.555 0.661 0.753 0.863 0.914 0.951 0.980 1.000<br />
Tabel 1: Korrelationer p˚a tværs <strong>af</strong> de enkelte løbetider i datasættet.