A linear model for the term structure of interest rates /
The term structure of interest rates shows the relationship between yields of zero-coupon bonds and their maturities. The empirical performance of the single-factor model of the affine term structure models, such as Vasicek (1977) and Cox, Ingersoll, and Ross (1985), has not been entirely satisfacto...
Main Author: | Mazigh, Monia. |
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Other Authors: | Whitmore, G. A. (advisor) |
Format: | Others |
Language: | en |
Published: |
McGill University
2000
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Subjects: | |
Online Access: | http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=37778 |
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