## Estimation and tests of the term structure of interest rates |

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### Contents

I O O O O O O O O O O O O O O O O l | 5 |

MODELLING THE MOVEMENT OF SPOT RATES | 64 |

TRADITIONAL TESTS OF THE TERM STRUCTURE | 87 |

4 other sections not shown

### Common terms and phrases

after-tax cash flows assumed assumption average bias biased bid-ask spread bond prices Cagan calculated CC estimates chapter coupon bonds coupon effect discount factors discount function Durand data economic empirical tests estimate term structures estimation technique expectations model forward rate important indicates inefficient bonds interest rates interpolation interval investors Kessel level of interest linear linear program liquidity premiums Ln't Meiselman method monotonically increasing motion n-period spot rate negative null hypothesis payments percent tax perfect expectations period preferred habitat hypothesis price estimates problem random error regression Rn't Rn't+T Schaefer segmentation short-term spot prices spot rate estimates spot rate process squared error stepwise regression stochastic process strict liquidity preference Structure of Interest sum of squared Table tax rate term premiums term struc term structure estimation testable Theil's U statistic three models tion treasury securities values variable variance Wiener process yield curve yield estimator yield points