Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional quot;expectations theory,quot; we show that these findings are not puzzling relative to a large class of richer dynamic terms structure models. Specifically, we are able to...

Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional quot;expectations theory,quot; we show that these findings are not puzzling relative to a large class of richer dynamic terms structure models. Specifically, we are able to...

Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional quot;expectations theory,quot; we show that these findings are not puzzling relative to a large class of richer dynamic terms structure models. Specifically, we are able to...

This paper is a critical survey of models designed for pricing fixed income securities and their associated term structures of market yields. Our primary focus is on the interplay between the theoretical specification of dynamic term structure models and their empirical fit to historical changes...

This paper is a critical survey of models designed for pricing fixed income securities and their associated term structures of market yields. Our primary focus is on the interplay between the theoretical specification of dynamic term structure models and their empirical fit to historical changes...

This paper is a critical survey of models designed for pricing fixed income securities and their associated term structures of market yields. Our primary focus is on the interplay between the theoretical specification of dynamic term structure models and their empirical fit to historical changes...

This chapter surveys the literature on fixed-income pricing models, including dynamic term structure models (DTSMs) and interest rate sensitive, derivative pricing models. This literature is vast with both the academic and practitioner communities having proposed a wide variety of models and...

This chapter surveys the literature on fixed-income pricing models, includ- ing dynamic term structure models (DTSMs) and interest rate sensitive, derivative pricing models. This literature is vast with both the academic and practitioner communities having proposed a wide variety of models and...

This paper develops a rich class of discrete-time, nonlinear dynamic term structure models (DTSMs). Under the risk-neutral measure, the distribution of the state vector Xt resides within a family of discrete-time affine processes that nests the exact discrete-time counter parts of the entire...

The paper develops a general equilibrium stochastic growth model of a multi-sector economy subject to i.i.d. taste shocks. Each sector produces one good, and each firm has a linear production technology and faces a quadratic capital adjustment cost. The model contains a standard intertemporal...