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• W1624549779 abstract "The discounting of very long-term cash-flows is crucial for the valuation of long-term investment projects. In this paper, we analyze the market prices of US government bonds with very long-term time-to-maturity, and emphasize some statistical specificities of very long-term zero-coupon rates, that standard Gaussian affine term structure models do not account for. In addition, we describe and estimate three Gaussian Nelson-Siegel affine term structure models, and highlight the model characteristics, which are necessary to match the dynamics of very long-term interest rates." @default.
• W1624549779 created "2016-06-24" @default.
• W1624549779 creator A5039946949 @default.
• W1624549779 creator A5045727306 @default.
• W1624549779 date "2011-01-01" @default.
• W1624549779 modified "2023-09-28" @default.
• W1624549779 title "An Analysis of the Ultra Long-Term Yields" @default.
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• W1624549779 doi "https://doi.org/10.2139/ssrn.1943535" @default.
• W1624549779 hasPublicationYear "2011" @default.
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