Prediction of the cheapest to deliver in futures contracts on short, medium and long term notional bonds

In this study I implemented the Ho-Lee model to identify which bond will become the Cheapest to deliver (CTD) at the delivery date of the futures contracts traded in the BVC between 2008 and 2014. In the model the zero curve (ZC) is an exogenous variable and it’s used to predict the future movements...

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Detalles Bibliográficos
Autor Principal: Rojas-Silva, Kimberly
Formato: Artículo (Article)
Lenguaje:Español (Spanish)
Publicado: Facultad de Finanzas, Gobierno y Relaciones Internacionales 2019
Acceso en línea:https://revistas.uexternado.edu.co/index.php/odeon/article/view/5950