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Comparing Alternative Models of the Term Structure of Interest Rates

Author

Listed:
  • Basma Bekdache

    (Wayne State University)

  • Christopher F. Baum

    (Boston College)

Abstract

No abstract is available for this item.

Suggested Citation

  • Basma Bekdache & Christopher F. Baum, 1994. "Comparing Alternative Models of the Term Structure of Interest Rates," Boston College Working Papers in Economics 271, Boston College Department of Economics.
    • Handle: RePEc:boc:bocoec:271
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    File URL: http://fmwww.bc.edu/EC-P/wp271.pdf
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    Citations

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    Cited by:

    1. Schich, Sebastian T., 1996. "Alternative Spezifikationen der deutschen Zinsstrukturkurve und ihr Informationsgehalt hinsichtlich der Inflation," Discussion Paper Series 1: Economic Studies 1996,08, Deutsche Bundesbank.
    2. Stefan Jaschke & Richard Stehle & Stephan Wernicke, 2000. "Arbitrage und die Gültigkeit des Barwertprinzips im Markt für Bundeswertpapiere," Schmalenbach Journal of Business Research, Springer, vol. 52(5), pages 440-468, August.
    3. Ghysels, E. & Ng, S., 1996. "A Semi-Parametric Factor Model for Interest Rates," Cahiers de recherche 9612, Universite de Montreal, Departement de sciences economiques.
    4. Schich, Sebastian T., 1996. "Alternative specifications of the German term structure and its information content regarding inflation," Discussion Paper Series 1: Economic Studies 1996,08e, Deutsche Bundesbank.
    5. David Bolder & David Stréliski, 1999. "Yield Curve Modelling at the Bank of Canada," Technical Reports 84, Bank of Canada.

    More about this item

    Keywords

    term structure of interest rates; risk premium;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation

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