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- Title
A parametric nonlinear model of term structure dynamics.
- Authors
Ahn, DH; Dong-Hyun Ahn; Gao, B; Bin Gao
- Abstract
Presents a model that delivers closed-form solutions for bond prices and a concave relationship between the interest rate and the yields. Alternative stochastic process of the interest; Analyses of the characteristics of the implied interest rate distribution; Empirical evidence of a nonlinear relationship between the short rate and the yields to maturity.
- Subjects
BOND prices; INTEREST rates
- Publication
Review of Financial Studies, 1999, Vol 12, Issue 4
- ISSN
0893-9454
- Publication type
Article
- DOI
10.1093/rfs/12.4.721