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- W2040890189 abstract "We test and estimate a variety of alternative models of the yield curve, using weekly, high-quality U.K. data. We extend the Campbell-Shiller technique to the overlapping data case and apply it to reject the pure expectations hypothesis under rational expectations. We also find that risk measures, in the form of conditional interest rate volatility, are unable to explain the term premium. A simple, market segmentation approach is, however, moderately successful in explaining the term premium." @default.
- W2040890189 created "2016-06-24" @default.
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- W2040890189 date "1991-12-01" @default.
- W2040890189 modified "2023-09-23" @default.
- W2040890189 title "Modelling the Yield Curve" @default.
- W2040890189 hasPublicationYear "1991" @default.
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