Term Structure Estimation from On-the-Run Treasuries
Preprint
- 1 January 2001
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
Five methods of estimating the term structure from on-the-run Treasuries are compared with respect to error in spot rate estimation, forward rate estimation andKeywords
This publication has 29 references indexed in Scilit:
- Term-Structure Factor Shifts and Economic NewsCFA Magazine, 2004
- Quadratic Term Structure Models: Theory and EvidenceThe Review of Financial Studies, 2002
- Specification Analysis of Affine Term Structure ModelsThe Journal of Finance, 2000
- A Parametric Nonlinear Model of Term Structure DynamicsThe Review of Financial Studies, 1999
- Yield Curve Shifts and the Selection of Immunization StrategiesThe Journal of Fixed Income, 1995
- Semi-Empirical Smooth Fit To The Treasury Yield CurveThe Journal of Fixed Income, 1993
- Estimating The Term Structure Of Interest Rates From Data That Include The Prices Of Coupon BondsThe Journal of Fixed Income, 1992
- An Empirical Comparison of Alternative Models of the Short-Term Interest RateThe Journal of Finance, 1992
- Yield Spreads and Interest Rate Movements: A Bird's Eye ViewThe Review of Economic Studies, 1991
- A Theory of the Term Structure of Interest RatesEconometrica, 1985