- d
Short-term interest rate estimates based on futures markets
- datadryad.org
- search.dataone.org
- +1more
zipUpdated Sep 11, 2023
Share
Facebook
Twitter
EmailClick to copy linkLink copiedCiteZiqian Wu (2023). Short-term interest rate estimates based on futures markets [Dataset]. http://doi.org/10.5061/dryad.qbzkh18pwzipAvailable download formatsUnique identifierhttps://doi.org/10.5061/dryad.qbzkh18pwDataset updatedSep 11, 2023Dataset provided byDryadAuthorsZiqian WuTime period coveredSep 4, 2023DescriptionShort-term interest rate estimates based on futures markets
Abstract: This data is the month-end data of the time series from January 2009 to March 2023 for four commodities such as gold soybean crude oil and natural gas. These time series data can be used to estimate the market short-term interest rate together with the Vasicek model and the joint radiation term structure model
Usage: The data in Table 1 and Table 2 can be read into the established interest rate estimation model code using python to estimate the short-term interest rate
Data structure: month-end time series data; The xlsx tables mainly include Table 1 and Table 2
Source: Bloomberg Data Terminal
Specific variable definition:
- The gold futures price is the futures price data from the end of January 2009 to the end of March 2023, in ounces per dollar
- Soybean futures prices are futures price data from the end of January 2009 to the end of March 2023, in tons per dollar
- Natural gas futures price...
Short-term interest rate estimates based on futures markets
- figshare.com
xlsxUpdated Sep 6, 2023ShareFacebookTwitterEmailClick to copy linkLink copiedCiteziqian wu (2023). Short-term interest rate estimates based on futures markets [Dataset]. http://doi.org/10.6084/m9.figshare.24085971.v1xlsxAvailable download formatsUnique identifierhttps://doi.org/10.6084/m9.figshare.24085971.v1Dataset updatedSep 6, 2023Authorsziqian wuLicenseCC0 1.0 Universal Public Domain Dedicationhttps://creativecommons.org/publicdomain/zero/1.0/
License information was derived automaticallyDescriptionThis data is the month-end data of the time series from January 2009 to March 2023 for four commodities such as gold soybean crude oil and natural gas. These time series data can be used to estimate the market short-term interest rate together with the Vasicek model and the joint radiation term structure model
Not seeing a result you expected?
Learn how you can add new datasets to our index.
FacebookTwitterEmailShort-term interest rate estimates based on futures markets
Abstract: This data is the month-end data of the time series from January 2009 to March 2023 for four commodities such as gold soybean crude oil and natural gas. These time series data can be used to estimate the market short-term interest rate together with the Vasicek model and the joint radiation term structure model
Usage: The data in Table 1 and Table 2 can be read into the established interest rate estimation model code using python to estimate the short-term interest rate
Data structure: month-end time series data; The xlsx tables mainly include Table 1 and Table 2
Source: Bloomberg Data Terminal
Specific variable definition:
- The gold futures price is the futures price data from the end of January 2009 to the end of March 2023, in ounces per dollar
- Soybean futures prices are futures price data from the end of January 2009 to the end of March 2023, in tons per dollar
- Natural gas futures price...