Different Dynamical Specifications of the Term Structure of Interest Rates and their Implications

Alternative ways of introducing uncertainty to the term structure of interest rates are considered. They correspond to the different expectation hypotheses. The dynamics of the term structure is analysed in a convenient framework of stochastic equations in infinite dimensions.

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Year of publication:	1993-11
Authors:	Musiela, Marek ; Sondermann, Dieter
Institutions:	University of Bonn, Germany
Subject:	term structure of interest rates \| expectation hypothesis \| stochastic equations in infinite dimensions

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Extent:	application/pdf
Series:	Discussion Paper Serie B.
Type of publication:	Book / Working Paper
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005028386