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Conditional Predictions of Bond Prices and Returns

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  • Brennan, Michael J
  • Schwartz, Eduardo S

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  • Brennan, Michael J & Schwartz, Eduardo S, 1980. " Conditional Predictions of Bond Prices and Returns," Journal of Finance, American Finance Association, vol. 35(2), pages 405-417, May.
  • Handle: RePEc:bla:jfinan:v:35:y:1980:i:2:p:405-17
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    Cited by:

    1. Shiller, Robert J. & Huston McCulloch, J., 1990. "The term structure of interest rates," Handbook of Monetary Economics,in: B. M. Friedman & F. H. Hahn (ed.), Handbook of Monetary Economics, edition 1, volume 1, chapter 13, pages 627-722 Elsevier.
    2. Boero, G. & Torricelli, C., 1996. "A comparative evaluation of alternative models of the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 93(1), pages 205-223, August.
    3. Emmanuelle Clément & Christian Gourieroux & Alain Monfort, 1995. "Linear Factor Models and the Term Structure of Interest Rates," Annals of Economics and Statistics, GENES, issue 40, pages 37-65.
    4. Yaacov Kopeliovich, 2015. "Optimal Portfolios Of Corporate Bonds And Hold To Maturity Strategies," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-34, December.
    5. Sercu, P., 1991. "Bond options and bond portfolio insurance," Insurance: Mathematics and Economics, Elsevier, vol. 10(3), pages 203-230, December.
    6. Muteba Mwamba, John & Thabo, Lethaba & Uwilingiye, Josine, 2014. "Modelling the short-term interest rate with stochastic differential equation in continuous time: linear and nonlinear models," MPRA Paper 64386, University Library of Munich, Germany.
    7. repec:eee:finana:v:52:y:2017:i:c:p:119-129 is not listed on IDEAS
    8. Kozicki, Sharon & Tinsley, P. A., 2001. "Shifting endpoints in the term structure of interest rates," Journal of Monetary Economics, Elsevier, vol. 47(3), pages 613-652, June.

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