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|dc.contributor.author||Das, Sanjiv Ranjan||-|
|dc.description.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.||en|
|dc.title||The Central Tendency: A Second Factor in Bond Yields||en|
|Appears in Collections:||Finance Working Papers|
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