Duffee, Greg (contributor) - 2000 - [Elektronische Ressource]
yields is that the
current term structure contains information about future term structures. For example,
long-maturity bond …. By
‘a ne’, I refer to models where zero-coupon bond yields, their physical (i.e., true) dynam-
ics, and their equivalent … yields (and thus
poor forecasts of future bond prices), it is unlikely that the model can shed light on the
economics …