메뉴 건너뛰기




Volumn 31, Issue 1, 1996, Pages 85-107

Another look at models of the short-term interest rate

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0030554347     PISSN: 00221090     EISSN: None     Source Type: Journal    
DOI: 10.2307/2331388     Document Type: Article
Times cited : (177)

References (32)
  • 3
    • 42449156579 scopus 로고
    • Generalized autoregressive conditional heteroskedasticity
    • Bollerslev, T. "Generalized Autoregressive Conditional Heteroskedasticity." Journal of Econometrics, 31 (1986), 307-327.
    • (1986) Journal of Econometrics , vol.31 , pp. 307-327
    • Bollerslev, T.1
  • 4
    • 34848900983 scopus 로고
    • ARCH modeling in finance: A review of the theory and empirical evidence
    • Bollerslev, T.; R. T. Chou; and K. F. Kroner. "ARCH Modeling in Finance: A Review of the Theory and Empirical Evidence." Journal of Econometrics, 52 (1992), 5-59.
    • (1992) Journal of Econometrics , vol.52 , pp. 5-59
    • Bollerslev, T.1    Chou, R.T.2    Kroner, K.F.3
  • 9
    • 84977707412 scopus 로고
    • An empirical comparison of alternative models of the short-term interest rate
    • Chan, K. C.; G. A. Karolyi; F. A. Longstaff; and A. B. Sanders. "An Empirical Comparison of Alternative Models of the Short-Term Interest Rate." Journal of Finance, 47 (1992), 1209-1227.
    • (1992) Journal of Finance , vol.47 , pp. 1209-1227
    • Chan, K.C.1    Karolyi, G.A.2    Longstaff, F.A.3    Sanders, A.B.4
  • 11
    • 0001484609 scopus 로고
    • An analysis of variable rate loan contracts
    • Cox, J.; J. Ingersoll; and S. Ross. "An Analysis of Variable Rate Loan Contracts." Journal of Finance, 35 (1980), 389-403.
    • (1980) Journal of Finance , vol.35 , pp. 389-403
    • Cox, J.1    Ingersoll, J.2    Ross, S.3
  • 12
    • 0039183272 scopus 로고
    • A theory of the term structure of interest rates
    • _. "A Theory of the Term Structure of Interest Rates." Econometrica, 53 (1985), 145-166.
    • (1985) Econometrica , vol.53 , pp. 145-166
  • 14
    • 49349118926 scopus 로고
    • On the term structure of interest rates
    • Dothan, U. "On the Term Structure of Interest Rates." Journal of Financial Economics, 6 (1978), 59-69.
    • (1978) Journal of Financial Economics , vol.6 , pp. 59-69
    • Dothan, U.1
  • 15
    • 0000051984 scopus 로고
    • Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. Inflation
    • Engle, R. F. "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of U.K. Inflation." Econometrica, 50 (1982), 987-1008.
    • (1982) Econometrica , vol.50 , pp. 987-1008
    • Engle, R.F.1
  • 16
    • 0001264648 scopus 로고
    • Estimating time varying risk premia in the term structure:The ARCH-M model
    • Engle, R. F.; D. Lilien; and R. Robins. "Estimating Time Varying Risk Premia in the Term Structure:The ARCH-M Model." Econometrica, 55 (1987), 391-407.
    • (1987) Econometrica , vol.55 , pp. 391-407
    • Engle, R.F.1    Lilien, D.2    Robins, R.3
  • 17
    • 45149140983 scopus 로고
    • Asset pricing with a factor ARCH covariance structure: Empirical estimates for treasury bills
    • Engle, R. F.; V. Ng; and M. Rothschild. " Asset Pricing with a Factor ARCH Covariance Structure: Empirical Estimates for Treasury Bills." Journal of Econometrics, 45 (1992), 213-238.
    • (1992) Journal of Econometrics , vol.45 , pp. 213-238
    • Engle, R.F.1    Ng, V.2    Rothschild, M.3
  • 21
    • 10444264776 scopus 로고
    • A test of the cox, ingersoll and Ross model of the term structure
    • Gibbons, M. R., and K. Ramaswamy. "A Test of the Cox, Ingersoll and Ross Model of the Term Structure." Review of Financial Studies, 6 (1993), 619-658.
    • (1993) Review of Financial Studies , vol.6 , pp. 619-658
    • Gibbons, M.R.1    Ramaswamy, K.2
  • 23
    • 0002674207 scopus 로고
    • Bond pricing and the term structure of interest rates: A new methodology for contingent claims evaluation
    • Heath, D.; R. A. Jarrow; and A. Morton. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Evaluation." Econometrica, 60 (1992), 77-105.
    • (1992) Econometrica , vol.60 , pp. 77-105
    • Heath, D.1    Jarrow, R.A.2    Morton, A.3
  • 25
    • 84977723797 scopus 로고
    • Interest rate volatility and the term structure: A two-factor general equilibrium model
    • Longstaff, F., and E. Schwartz. "Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model." Journal of Finance, 47 (1992), 1259-1282.
    • (1992) Journal of Finance , vol.47 , pp. 1259-1282
    • Longstaff, F.1    Schwartz, E.2
  • 26
    • 0001238065 scopus 로고
    • Stochastic processes for interest rates and equilibrium bond prices
    • Marsh, T., and E. Rosenfeld. "Stochastic Processes for Interest Rates and Equilibrium Bond Prices." Journal of Finance, 38 (1983), 635-646.
    • (1983) Journal of Finance , vol.38 , pp. 635-646
    • Marsh, T.1    Rosenfeld, E.2
  • 29
    • 38249038077 scopus 로고
    • The stochastic properties of term structure movements
    • Oldfield, G. S., and R. J. Rogalski. "The Stochastic Properties of Term Structure Movements." Journal of Monetary Economics, 19 (1987), 229-245.
    • (1987) Journal of Monetary Economics , vol.19 , pp. 229-245
    • Oldfield, G.S.1    Rogalski, R.J.2
  • 30
    • 0001829378 scopus 로고
    • On the intertemporal behavior of the short-term rate of interest
    • Sanders, A., and H. Unal. "On the Intertemporal Behavior of the Short-Term Rate of Interest." Journal of Financial and Quantitative Analysis, 23 (1988), 417-423.
    • (1988) Journal of Financial and Quantitative Analysis , vol.23 , pp. 417-423
    • Sanders, A.1    Unal, H.2
  • 31
    • 0347078538 scopus 로고
    • An equilibrium characterization of the term structure
    • Vasicek, O. "An Equilibrium Characterization of the Term Structure." Journal of Financial Economics, 5 (1977), 177-188.
    • (1977) Journal of Financial Economics , vol.5 , pp. 177-188
    • Vasicek, O.1
  • 32
    • 84972113785 scopus 로고
    • A unified approach to robust, regression-based specification tests
    • Wooldridge, J. M. "A Unified Approach to Robust, Regression-Based Specification Tests." Econometric Theory, 6 (1990), 17-43.
    • (1990) Econometric Theory , vol.6 , pp. 17-43
    • Wooldridge, J.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.