Modeling Returns on the Term Structure of Treasury Interest Rates
Christopher F. Baum
To what degree are term structure models fitted to time series data likely to be stable? Where are the sources of instability? How well might highly parameterized models, such as GARCH models, be able to capture this behavior? These are questions that have occupied many researchers which we address in this paper by trying to identify common factors which underly the movements of the term structure of Treasury interest rates, and consider how well models based on those common factors perform.
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