题名

Collapse of Dimensionality in the Interest Rate Term Structure

DOI

10.6293/AQAFA.2009.07.10

作者

En-Lin Pan；Liu-Ren Wu

关键词

Term structure ； Interest rates ； Positivity ； Quadratic forms

期刊名称

Advances in Quantitative Analysis of Finance and Accounting

卷期/出版年月

7期（2009 / 06 / 01）

页次

249 - 252

内容语文

英文
英文摘要

This note addresses some of the criticisms by Ingersoll (2008) on Pan and Wu (2006) and elaborates on the fundamental issues that must be addressed in analyzing interest rate term structures.
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
参考文献
  1. Ingersoll, J.(2008).Positive interest rates and yields: Additional serious considerations.Advances in Quantitative Analysis of Finance and Accounting,7(9)
    連結：
  2. Barry, J. Y.,Ayres, H. F.(1980).A theory of the U.S. treasury market equilibrium.Management Science,26(6),539-569.
  3. Heath, D.,Jarrow, R.,Morton, A.(1992).Bond pricing and the term structure of interest rates: A new technology for contingent claims valuation.Econometrica,60(1),77-105.
  4. Nelson, C. R.,Siegel, A. F.(1987).Parsimonious modeling of yield curves.Journal of Business,60(4),473-489.
  5. Pan, E.(1998).Collpase of detail.International Journal of Theoretical and Applied Finance,1(2),247-282.
  6. Pan, E.,Wu, L.(2006).Taking positive interest rates seriously.Advances in Quantitative Analysis of Finance and Accounting,4(14),327-356.
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