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Comment on: “A Quantitative Yield Curve Model for Estimating the Term Structure of Interest Ratesâ€

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  • Fogler, H. Russell
  • Ganapathy, S.

Abstract

Term structure theories and the related specification of estimating equations are properly viewed as part of the complex multiperiod consumptioninvestment decision, a research area which presents many analytical problems (for a review, see Long [4]). Because of both the complexity and analytical difficulties, yield curve estimation has generally utilized rather ad hoc specifications. Thus, the recent article by Echols and Elliot [1] is to be applauded because it attempts to rigorously derive a yield curve specification based upon the pure expectations model of the term structure of interest rates.

Suggested Citation

  • Fogler, H. Russell & Ganapathy, S., 1980. "Comment on: “A Quantitative Yield Curve Model for Estimating the Term Structure of Interest Ratesâ€," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(2), pages 449-456, June.
    • Handle: RePEc:cup:jfinqa:v:15:y:1980:i:02:p:449-456_00
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