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Interest rates --- 333.830 --- AA / International- internationaal --- KR / South Korea - Zuid Korea - Corée du Sud --- LDC / Developping Countries - Pays En Développement --- 336.781 --- 336.781 Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- Money market rates --- Rate of interest --- Rates, Interest --- Interest --- Mathematical models --- Theorieën en algemeenheden over geldrente --- Zonder onderwerpscode --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis

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Mathematics --- 336.781 --- 658.152 --- 368.01 --- 658.15 --- 10.03.b --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- Capital investment. Fixed assets. Use of funds --- Verzekeringswezen. Actuariaat. Grondslagen verzekeringswezen. Vaststellen verzekeringspremies. Risicoberekening --- Private financial management. Financial administration of enterprises --- Actuariaat ; Financiële verrichtingen --- 658.15 Private financial management. Financial administration of enterprises --- 368.01 Verzekeringswezen. Actuariaat. Grondslagen verzekeringswezen. Vaststellen verzekeringspremies. Risicoberekening --- 658.152 Capital investment. Fixed assets. Use of funds --- 336.781 Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis

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Interest --- Capital --- Finance --- AA / International- internationaal --- 339.0 --- 336.781 --- 333.831.0 --- 333.600 --- 333.830 --- Algemeenheden. Nationale rekeningen. --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- Evolutie van de rentetarieven naar de duur van de bedragen. Verband tussen de diverse rentetarieven: algemeenheden. --- Financiële markten. Kapitaalmarkten (algemeenheden). --- Theorieën en algemeenheden over geldrente. --- 336.781 Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- Algemeenheden. Nationale rekeningen --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis --- Evolutie van de rentetarieven naar de duur van de bedragen. Verband tussen de diverse rentetarieven: algemeenheden --- Financiële markten. Kapitaalmarkten (algemeenheden) --- Theorieën en algemeenheden over geldrente

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Interest rates --- 336.781 --- 338 (492) --- 336.781 Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis. --- Money market rates --- Rate of interest --- Rates, Interest --- Interest --- 338 (492) Economische situatie. Economische structuur van bepaalde landen en gebieden. Economische geografie. Economische produktie.economische produkten. Economische diensten--Nederland --- Economische situatie. Economische structuur van bepaalde landen en gebieden. Economische geografie. Economische produktie.economische produkten. Economische diensten--Nederland --- Rente. Interest. Interestpolitiek. Yield-curve-analyse.bankrate. Interestvoet. Rentevoet. Depositorente. Fisher-hypothesis --- Money market. Capital market --- Netherlands

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There is strong evidence that interest rates and bond yield movements exhibit both stochastic volatility and unanticipated jumps. The presence of frequent jumps makes it natural to ask whether there is a premium for jump risk embedded in observed bond yields. This paper identifies a class of jump-diffusion models that are successful in approximating the term structure of interest rates of emerging markets. The parameters of the term structure of interest rates are reconciled with the associated bond yields by estimating the volatility and jump risk premia in highly volatile markets. Using the simulated method of moments (SMM), results suggest that all variants of models which do not take into account stochastic volatility and unanticipated jumps cannot generate the non-normalities consistent with the observed interest rates. Jumps occur (8,10) times a year in Argentina and Brazil, respectively. The size and variance of these jumps is also of statistical significance.

Banks and Banking --- Macroeconomics --- Interest Rates: Determination, Term Structure, and Effects --- Price Level --- Inflation --- Deflation --- Finance --- Yield curve --- Short term interest rates --- Interest rate modelling --- Asset prices --- Market interest rates --- Interest rates --- Prices --- Argentina --- Risk --- Jump processes --- Bonds --- Econometric models.