This paper shows that for a large class of single and multi‐factor term structure models, including the affine class, the market price of risk is directly related to the parameters of the stochastic processes of the underlying factors of the economy. It is shown that the market price of risk...

Zusammenfassung Mit dem Konjunkturtest, dem Innovationstest und dem Investitionstest des ifo Instituts liegt ein umfangreicher Datensatz der Unternehmen des verarbeitenden Gewerbes in der Bundesrepublik Deutschland vor, der es erlaubt, detaillierte Untersuchungen des Unternehmensverhaltens...

The yield levels and yield movements of Eurodollar rates are compared to yield level and yield movements of securities. Contrary to the previous studies, we could find no consistent and meaningful lead–lag relationship between U.S rates and Eurodollar rates. Additionally, we found that...