Predictable changes in yields and forward rates

Journal of Financial Economics

Volumn 59, Issue 3, 2001, Pages 281-311

  Backus, David ^a   Foresi, Silverio ^b   Mozumdar, Abon ^c   Wu, Liuren ^d  

^a NEW YORK UNIVERSITY   (United States)

^b Goldman Sachs Group   (United States)

^c PAMPLIN COLLEGE OF BUSINESS   (United States)

^d FORDHAM UNIVERSITY   (United States)

Author keywords

Affine models; E43; Expectations hypothesis; Forecasting; G12; Pricing kernels; Term premiums

Indexed keywords

EID: 0001353110     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(00)00088-X     Document Type: Article

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