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A parametric nonlinear model of term structure dynamics.

Authors :
Ahn, DH
Dong-Hyun Ahn
Gao, B
Bin Gao
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

Subjects :
BOND prices
INTEREST rates

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