A dynamic linear model for pricing fixed interest rate stocks on the South African market

A dynamic linear model for pricing fixed interest rate stocks on the South African market

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Article ID: iaor1993565
Country: South Africa
Volume: 26
Start Page Number: 43
End Page Number: 59
Publication Date: Apr 1992
Journal: South African Statistical Journal
Authors:
Keywords: investment
Abstract:

A study of the South African financial markets is undertaken with a view to modelling the underlying term structure of interest rates that affect investment opportunities. A dynamic linear model will be developed with the measurement equation being used to model the observed fixed interest rate stock prices that occur on the market, and the system equation being used to model the unobservable spot rates of interest that prevail on the market.

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