The expectations hypothesis implies that the yield curve provides information on the future change in the short-term interest rate. However, transaction costs exist in the ΓΏnancial market, which prevent investors from realizing the arbitrage opportunity, when the arbitrage does not fully cover the t
β¦ LIBER β¦
Regime shifts in the Danish term structure of interest rates
β Scribed by Tom Engsted; Ken Nyholm
- Publisher
- Springer-Verlag
- Year
- 2000
- Tongue
- English
- Weight
- 184 KB
- Volume
- 25
- Category
- Article
- ISSN
- 0377-7332
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## Abstract We consider a new approach for estimating the coefficients of the term structure equation in twoβfactor models. This approach is based on the fact that the riskβneutral drifts of the factors are directly estimated. Therefore, the market prices of risk and the physical drifts do not have
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