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ArticleA Multivariate Model of the Term Structure

Terence C. Langetieg1980

Article1980

A Multivariate Model of the Term Structure

Terence C. Langetieg

223 citations·0/0 files stored·The Journal of Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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1973The Pricing of Options and Corporate Liabilities 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1973Theory of Rational Option Pricing 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 2005Theory of rational option pricing 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]1977An equilibrium characterization of the term structure

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Year1980

Typearticle

Published1980-03-01

VenueThe Journal of Finance

ISSN-L0022-1082

Languageen

Citations223

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1111/j.1540-6261.1980.tb03472.x

openalex_workW2158448835

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2000Continuous‐Time Methods in Finance: A Review and an Assessment 2000Time Series and Cross-section Information in Affine Term-Structure Models 2006Term Structure Estimation with Survey Data on Interest Rate Forecasts 1998A Markovian Framework in Multi-Factor Heath-Jarrow-Morton Models 1996The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures 2005Term Structure Estimation with Survey Data on Interest Rate Forecasts 1995Single Factor Heath-Jarrow-Morton Term Structure Models Based on Markov Spot Interest Rate Dynamics 2006AnN‐factor Gaussian model of oil futures prices