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Limitations of the Long-Term Clinical Application of Rate Hysteresis

✍ Scribed by W. JOSEPH HOLLINS; ROBERT B. LEMAN; JOHN M. KRATZ; PAUL C. GILLETTE


Book ID
109187440
Publisher
John Wiley and Sons
Year
1987
Tongue
English
Weight
228 KB
Volume
10
Category
Article
ISSN
0147-8389

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## Abstract In this article, we look at study the dynamics of forward rates with maturities longer than 14 years. We re‐document the phenomenon of the downward sloping long forward rate term structure using U.S. Treasury STRIPS data over the period 1988 to 2007. By calibrating Diebold F. X. and Li