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A parametric nonlinear model of term structure dynamics.
- Source :
- Review of Financial Studies; 1999 Special Issue, Vol. 12 Issue 4
- Publication Year :
- 1999
-
Abstract
- Presents a model that delivers closed-form solutions for bond prices and a concave relationship between the interest rate and the yields. Alternative stochastic process of the interest; Analyses of the characteristics of the implied interest rate distribution; Empirical evidence of a nonlinear relationship between the short rate and the yields to maturity.
- Subjects :
- BOND prices
INTEREST rates
Subjects
Details
- Language :
- English
- ISSN :
- 08939454
- Volume :
- 12
- Issue :
- 4
- Database :
- Complementary Index
- Journal :
- Review of Financial Studies
- Publication Type :
- Academic Journal
- Accession number :
- 4233908
- Full Text :
- https://doi.org/10.1093/rfs/12.4.721