ARBITRAGE-BASED ESTIMATION OF NONSTATIONARY SHIFTS IN THE TERM STRUCTURE OF INTEREST-RATES

[1] AYERS HR, 1980, MANAGE SCI, V26, P539

[2] AYERS HR, 1979, FINANCIAL ANAL J, V35, P31

[3] Bierwag G.O., 1983, INNOVATIONS BOND POR

[4] Bierwag G.O., 1983, FINANCIAL ANAL J, V39, P15

[5] BOND RETURNS, DISCRETE STOCHASTIC-PROCESSES, AND DURATION [J]. JOURNAL OF FINANCIAL RESEARCH, 1987, 10 (03) : 191 - 209

[6] BLISS RR, 1989, FITTING TERM STRUCTR

[7] Brennan M.J., 1979, J BANKING FINANCE, V3, P133, DOI [DOI 10.1016/0378-4266(79)90011-6, 10.1016/0378-4266(79)90011-6]

[8] Brennan MichaelJ., 1983, INNOVATIONS BOND POR

[9] A THEORY OF THE TERM STRUCTURE OF INTEREST-RATES [J]. ECONOMETRICA, 1985, 53 (02) : 385 - 407

[10] FAMA EF, 1987, AM ECON REV, V77, P680

[1] AYERS HR, 1980, MANAGE SCI, V26, P539

[2] AYERS HR, 1979, FINANCIAL ANAL J, V35, P31

[3] Bierwag G.O., 1983, INNOVATIONS BOND POR

[4] Bierwag G.O., 1983, FINANCIAL ANAL J, V39, P15

[5] BOND RETURNS, DISCRETE STOCHASTIC-PROCESSES, AND DURATION [J]. JOURNAL OF FINANCIAL RESEARCH, 1987, 10 (03) : 191 - 209

[6] BLISS RR, 1989, FITTING TERM STRUCTR

[7] Brennan M.J., 1979, J BANKING FINANCE, V3, P133, DOI [DOI 10.1016/0378-4266(79)90011-6, 10.1016/0378-4266(79)90011-6]

[8] Brennan MichaelJ., 1983, INNOVATIONS BOND POR

[9] A THEORY OF THE TERM STRUCTURE OF INTEREST-RATES [J]. ECONOMETRICA, 1985, 53 (02) : 385 - 407

[10] FAMA EF, 1987, AM ECON REV, V77, P680