Estimating and Interpreting the Yield Curve
Wiley, Jun 4, 1996 - Business & Economics - 221 pages
A yield curve is a graph indicating the term structure of interest rates by plotting the yields of all bonds of the same quality. This book provides a thorough analysis of estimation techniques and a survey of yield curve interpretation. On the former it is the most advanced book in its field, on the latter it provides an introduction to more specialised texts. It also provides important insight into the latest thinking on these techniques at the Bank of England.
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The term structure of interest rates
Estimating yield curves
Comparing yield curve models
7 other sections not shown
approximation arbitrage assumed assumption Bank of England bond markets callable bonds capital gain cashflows Chapter clean price contingent claims conventional convertible bonds coupon bond coupon payments debt defined derived described discount factor discount function dividend Economic effect errors estimation example expectations hypothesis expectations of future expectations theory forward premium forward rate curve functional form future short rates given government bonds implied forward rate income index-linked bonds index-linked gilts indexed bonds inflation expectations Ingersoll and Ross instantaneous forward instantaneous holding investor issued issuer Jensen's Inequality Journal of Finance knot points linear long bond market expectations market price maturity Nelson and Siegel nominal option parameters period price equation price of risk real yield redemption yield risk premia Schaefer Shiller spline structure of interest tax rate term premium term structure models Treasury variables Vasicek Vasicek model volatility yield curve zero zero-coupon bond