ARBITRAGE-BASED ESTIMATION OF NONSTATIONARY SHIFTS IN THE TERM STRUCTURE OF INTEREST-RATES

被引：8

作者：

BLISS, RR

RONN, EI

机构：

[1] UNIV TEXAS, COLL BUSINESS, AUSTIN, TX 78712 USA

[2] UNIV TEXAS, GRAD SCH BUSINESS, AUSTIN, TX 78712 USA

来源：

关键词：

D O I：

10.2307/2328772

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：591 / 610

页数：20

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[6]

BLISS RR, 1989, FITTING TERM STRUCTR

[7]

Brennan M.J., 1979, J BANKING FINANCE, V3, P133, DOI [DOI 10.1016/0378-4266(79)90011-6, 10.1016/0378-4266(79)90011-6]

[8]

Brennan MichaelJ., 1983, INNOVATIONS BOND POR

[9] A THEORY OF THE TERM STRUCTURE OF INTEREST-RATES [J].

COX, JC ;

INGERSOLL, JE ;

ROSS, SA .

[10]

FAMA EF, 1987, AM ECON REV, V77, P680