Modeling Returns on the Term Structure of Treasury Interest Rates
AbstractTo what degree are term structure models fitted to time series data likely to be stable? Where are the sources of instability? How well might highly parameterized models, such as GARCH models, be able to capture this behavior? These are questions that have occupied many researchers which we address in this paper by trying to identify common factors which underly the movements of the term structure of Treasury interest rates, and consider how well models based on those common factors perform.
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Bibliographic InfoPaper provided by Boston College Department of Economics in its series Boston College Working Papers in Economics with number 288..
Length: 29 pages
Date of creation: Jun 1995
Date of revision:
Publication status: Published in Computational Approaches to Economic Problems, H. Amman et al.,eds., Kluwer Academic Publishers, 1997.
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC
term structure; GARCH; bond returns;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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