Measuring Risk in Fixed Payment Securities: An Empirical Test of the Structured Full Rank Covariance Matrix
检验了Hilliard和Jordan提出的结构化满秩协方差矩阵模型，该模型用两个参数估计固定现金流组合的波动性，通过似然比和预测准确性标准进行实证测试。
The appropriate set of parameters determining the volatility of the value of a portfolio of fixed cash flows of arbitrary maturities is the covariance matrix of unexpected interest rate changes over the term. Equilibrium models of the term structure limit the rank of the covariance matrix and implicitly impose restrictions on covariance estimation. The “full information” approach to risk measurement imposes only time stationarity assumptions on covariance matrix estimators and can result in sample matrices of full rank. Hilliard and Jordan (1989) develop a structured full rank covariance matrix that depends on only two parameters. This paper tests the Hilliard-Jordan model using likelihood ratios and criteria of forecast accuracy.