Estimation and Tests of the Term Structure of Interest Rates |
Contents
ESTIMATION OF THE TERM STRUCTURE OF INTEREST RATES | 5 |
Chapter 4 | 42 |
Theory and Tests of | 62 |
4 other sections not shown
Common terms and phrases
after-tax cash flows assumed assumption average bias biased bond prices Cagan calculated CC estimates chapter constant coupon bonds coupon effect discount factors discount function Durand data economic empirical tests equation estimate term structures estimation technique expectations model f(t+dt forward rate important In,t indicates inefficient bonds interest rates interpolation interval investors Kessel level of interest linear liquidity preference liquidity premiums Meiselman method motion n-period spot rate n,t n,t n,t+T negative null hypothesis payments percent tax perfect expectations period preferred habitat hypothesis price estimates problem random error Rn,t Schaefer segmentation short maturity short-term spot prices spot rate estimates squared error stepwise regression stochastic process 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 Δ Δ Δ