The functional form of yield curves

Yield curves built from liquid instruments tend to exhibit specific features, both in term of smoothness and in term of patterns. The paper presents empirical evidence that those liquid yiled curves frequently conform to a specific functional form. This specific functional form is predicted by a particular arbitrage pricing model. The paper also examines the possible interpretations of this phenomenon.

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Year of publication:	2002
Authors:	Brousseau, Vincent
Publisher:	Frankfurt a. M. : European Central Bank (ECB)

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Series:	ECB Working Paper ; 148
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	hdl:10419/152582 [Handle] RePEc:ecb:ecbwps:20020148 [RePEc]
Classification:	G10 - General Financial Markets. General ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10011604194