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...
| मुख्य लेखक: | |
|---|---|
| स्वरूप: | पत्रिका |
| भाषा: | English |
| प्रकाशित: |
Washington, D.C. :
International Monetary Fund,
1991.
|
| श्रृंखला: | IMF Working Papers; Working Paper ;
No. 1991/134 |
| ऑनलाइन पहुंच: | Full text available on IMF |