Around and around: The expectations hypothesis

Journal of Finance

Volumn 53, Issue 1, 1998, Pages 365-383

  Fisher, Mark ^a   Gilles, Christian ^a  

^a Board of Governors of the Federal Reserve System   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0012166590     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.145490     Document Type: Article

References (12)

1. Campbell, John Y., 1986, A defense of traditional hypotheses about the term structure of interest rates, Journal of Finance 41, 183-193.
2. Campbell, John Y., and Robert J. Shiller, 1991, Yield spreads and interest rate movements: A bird's eye view, Review of Economic Studies 58, 495-514.
3. Cox, John C., Jonathan E. Ingersoll, and Stephen A. Ross, 1981, A reexamination of traditional hypotheses about the term structure of interest rates, Journal of Finance 36, 321-346.
4. Cox, John C., Jonathan E. Ingersoll, and Stephen A. Ross, 1985, A theory of the term structure of interest rates, Econometrica 53, 385-407.
5. Duffie, Darrell, 1996, Dynamic Asset Pricing Theory (Princeton University Press, Princeton, N.J.).
6. Duffie, Darrell, and Rui Kan, 1996, A yield-factor model of interest rates, Mathematical Finance 6, 379-406.
7. Fisher, Mark, and Christian Gilles, 1996, Estimating exponential-affine models of the term structure, Working paper, Federal Reserve Board.
8. Frachot, Antoine and Jean-Philippe Lesne, 1994, Expectations hypotheses and stochastic volatilities, Working paper, Banque de France.
9. Heath, David, Robert Jarrow, and Andrew Morton, 1992, Bond pricing and the term structure of interest rates: A new methodology, Econometrica 60, 77-105.
10. Hull, John C., 1993, Options, Futures, and Other Derivative Securities (Prentice Hall, Englewood Cliffs, N.J.).
11. Jarrow, Robert A., 1981, Liquidity premiums and the expectations hypothesis, Journal of Banking and Finance 5, 539-546.
12. McCulloch, J. Huston, 1993, A reexamination of traditional hypotheses about the term structure of interest rates: A comment, Journal of Finance 48, 779-789.