Modelling the Yield Curve /
We test and estimate a variety of alternative models of the yield curve, using weekly, high-quality U.K. data. We extend the Campbell-Shiller technique to the overlapping data case and apply it to reject the pure expectations hypothesis under rational expectations. We also find that risk measures, i...
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| Format: | Tidsskrift |
| Sprog: | English |
| Udgivet: |
Washington, D.C. :
International Monetary Fund,
1991.
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| Serier: | IMF Working Papers; Working Paper ;
No. 1991/134 |
| Online adgang: | Full text available on IMF |