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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27107
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| Title: | The Central Tendency: A Second Factor in Bond Yields |
| Authors: | Balduzzi, Pierluigi
Das, Sanjiv Ranjan
Foresi, Silverio |
| Keywords: | term structure |
| Issue Date: | Nov-1995 |
| Series/Report no.: | FIN-95-007 |
| Abstract: | We assume that the instantaneous riskless rate reverts towards a central tendency which, in turn, is changing stochastically over time, and we derive a model of the term structure of interest rates. Our term-structure model implies that a linear combination of any two rates can be used as a proxy of the central tendency. Based on the central-tendency proxy, we estimate a model of the one-month rate which performs better than models which assume the central tendency to be constant. |
| URI: | http://hdl.handle.net/2451/27107 |
| Appears in Collections: | Finance Working Papers
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