Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Balduzzi, Pierluigi | - |
| dc.contributor.author | Das, Sanjiv Ranjan | - |
| dc.contributor.author | Foresi, Silverio | - |
| dc.date.accessioned | 2008-05-30T05:15:37Z | - |
| dc.date.available | 2008-05-30T05:15:37Z | - |
| dc.date.issued | 1995-11 | - |
| dc.identifier.uri | http://hdl.handle.net/2451/27107 | - |
| 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.language.iso | en_US | en |
| dc.relation.ispartofseries | FIN-95-007 | en |
| dc.subject | term structure | en |
| dc.title | The Central Tendency: A Second Factor in Bond Yields | en |
| dc.type | Working Paper | en |
| Appears in Collections: | Finance Working Papers | |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| wpa95007.pdf | 697.55 kB | Adobe PDF | View/Open |
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