An Econometric Model of the Term Structure of Interest-Rate Swap Yields

• 1 September 1997
• journal article
• Published by JSTOR in The Journal of Finance
• Vol. 52  (4) , 1287-1321
• https://doi.org/10.2307/2329437

Abstract

Keywords

• TIME SERIES ANALYSIS
• ECONOMETRIC MODEL
• RATE SWAP YIELDS
• STRUCTURE OF INTEREST
• TERM STRUCTURE
• RATES