This paper proposes a non-linear term structure model that nests the discrete and continuous time models as special cases. I estimate the model non-parametrically using nearest-neighbours regression. In sample, the non-linear model matches the standard theories, but out of sample, it offers substant
Inference in expectations models of the term structure: A non-parametric approach
β Scribed by Bryan Campbell; John W. Galbraith
- Publisher
- Springer-Verlag
- Year
- 1993
- Tongue
- English
- Weight
- 1013 KB
- Volume
- 18
- Category
- Article
- ISSN
- 0377-7332
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