English, Article, Journal or magazine article edition: Modeling Returns on the Term Structure of Treasury Interest Rates Christopher F. Baum; Basma Bekdache

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Bookmark: http://trove.nla.gov.au/version/73218
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Modeling Returns on the Term Structure of Treasury Interest Rates
Author
  • Christopher F. Baum
  • Basma Bekdache
Physical Description
  • preprint
Notes
  • 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.
  • term structure, GARCH, bond returns
  • RePEc:boc:bocoec:288
Language
  • English
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