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A Quantitative Yield Curve Model for Estimating the Term Structure of Interest Rates

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  • Echols, Michael E.
  • Elliott, Jan Walter

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  • Echols, Michael E. & Elliott, Jan Walter, 1976. "A Quantitative Yield Curve Model for Estimating the Term Structure of Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 11(01), pages 87-114, March.
  • Handle: RePEc:cup:jfinqa:v:11:y:1976:i:01:p:87-114_02
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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. Hall, A.D, 1999. "Parametric forecasts of Australian yield curves," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 541-549.
    3. Christopher M. Bilson & Timothy J. Brailsford & Luke J. Sullivan & Sirimon Treepongkaruna, 2008. "Pricing Bonds in the Australian Market," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 123-143, June.
    4. Charles R. Nelson & Andrew F. Siegel, 1985. "Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills," NBER Working Papers 1594, National Bureau of Economic Research, Inc.
    5. Richard Deaves & Mahmut Parlar, 2000. "A generalized bootstrap method to determine the yield curve," Applied Mathematical Finance, Taylor & Francis Journals, vol. 7(4), pages 257-270.
    6. Pham, Toan M., 1998. "Estimation of the term structure of interest rates: an international perspective," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 265-283, September.

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