The central tendency: A second factor in bond yields
P Balduzzi, SR Das, S Foresi - Review of Economics and Statistics, 1998 - direct.mit.edu
We assume that the instantaneous riskless rate reverts toward a central tendency which, in
turn, is changing stochastically over time. As a result, current short-term rates are not …
turn, is changing stochastically over time. As a result, current short-term rates are not …
[PDF][PDF] THE CENTRAL TENDENCY: A SECOND FACTOR IN BOND YIELDS
P Balduzzi, SR Das, S Foresi - 1997 - core.ac.uk
This paper develops a two-factor model of the term structure of interest rates. We follow the
standard tradition in the finance term-structure literature (see, for example, Brennan and …
standard tradition in the finance term-structure literature (see, for example, Brennan and …
The Central Tendency: A Second Factor in Bond Yields
P Balduzzi, SR Das, S Foresi - Review of Economics and Statistics, 1998 - JSTOR
We assume that the instantaneous riskless rate reverts toward a central tendency which, in
turn, is changing stochastically over time. As a result, current short-term rates are not …
turn, is changing stochastically over time. As a result, current short-term rates are not …
[PDF][PDF] THE CENTRAL TENDENCY: A SECOND FACTOR IN BOND YIELDS
P Balduzzi, SR Das, S Foresi - The Review of Economics and …, 1998 - srdas.github.io
We assume that the instantaneous riskless rate reverts toward a central tendency which, in
turn, is changing stochastically over time. As a result, current short-term rates are not …
turn, is changing stochastically over time. As a result, current short-term rates are not …
The Central Tendency: A Second Factor in Bond Yields
P Balduzzi, SR Das, S Foresi - 1996 - archive.nyu.edu
We assume that the instantaneous riskless rate reverts toward a central tendency which, in
turn, is changing stochastically over time. As a result, current short-term rates are not …
turn, is changing stochastically over time. As a result, current short-term rates are not …
The Central Tendency: A Second Factor in Bond Yields
P Balduzzi, SR Das, S Foresi - 1997 - policycommons.net
We assume that the instantaneous riskless rate reverts towards a central tendency which in
turn, is changing stochastically over time. As a result, current short-term rates are not" …
turn, is changing stochastically over time. As a result, current short-term rates are not" …
The Central Tendency: A Second Factor In Bond Yields
P Balduzzi, S Das, S Foresi - The Review of Economics and …, 1998 - econpapers.repec.org
We assume that the instantaneous riskless rate reverts toward a central tendency which, in
turn, is changing stochastically over time. As a result, current short-term rates are not …
turn, is changing stochastically over time. As a result, current short-term rates are not …
[PDF][PDF] THE CENTRAL TENDENCY: A SECOND FACTOR IN BOND YIELDS
P Balduzzi, SR Das, S Foresi - The Review of Economics and Statistics, 1998 - Citeseer
We assume that the instantaneous riskless rate reverts toward a central tendency which, in
turn, is changing stochastically over time. As a result, current short-term rates are not …
turn, is changing stochastically over time. As a result, current short-term rates are not …
THE CENTRAL TENDENCY: A SECOND FACTOR IN BOND YIELDS.
P Balduzzi, SR Das, S Foresi - Review of Economics & …, 1998 - search.ebscohost.com
We assume that the instantaneous riskless rate reverts toward a central tendency which, in
turn, is changing stochastically over time. As a result, current short-term rates are not …
turn, is changing stochastically over time. As a result, current short-term rates are not …
[PDF][PDF] The Central Tendency: A Second Factor in Bond Yields
P Balduzzi, SR Das, S Foresi - researchgate.net
We assume that the instantaneous riskless rate reverts towards a central tendency which, in
turn, is changing stochastically over time. As a result, current short-term rates are not …
turn, is changing stochastically over time. As a result, current short-term rates are not …