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ArticleThe stochastic properties of term structure movements

George S. Oldfield1987

Article1987

The stochastic properties of term structure movements

George S. Oldfield · Richard J. Rogalski

18 citations·0/0 files stored·Journal of Monetary Economics

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Stochastic processes and financial applications Monetary Policy and Economic Impact Financial Markets and Investment Strategies

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References

1977Book Review: Time Series Analysis: Forecasting and Control 1985A Theory of the Term Structure of Interest Rates 1977An equilibrium characterization of the term structure 1971Time Series Analysis, Forecasting and Control.1984The information in the term structure 1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates 1982An Equilibrium Model of Bond Pricing and a Test of Market Efficiency 1980A Multivariate Model of the Term Structure

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1990Chapter 13 The term structure of interest rateschapter · 8 shared references 1994A survey of stochastic continuous time models of the term structure of interest ratesarticle · 8 shared references 1992Time-varying term premia on U.S. Treasury bills and bondsarticle · 8 shared references 1987The Term Structure of Interest Ratesreport · 6 shared references 1989The Term Structure of Interest Rates in a Partially Observable Economyarticle · 6 shared references 1990Pricing Interest-Rate-Derivative Securitiesarticle · 5 shared references

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Year1987

Typearticle

Published1987-03-01

VenueJournal of Monetary Economics

ISSN-L0304-3932

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0304-3932(87)90048-1

openalex_workW1968953134

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