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Comment on: “A Quantitative Yield Curve Model for Estimating the Term Structure of Interest Rates”

Published online by Cambridge University Press:  06 April 2009

Extract

Term structure theories and the related specification of estimating equations are properly viewed as part of the complex multiperiod consumptioninvestment decision, a research area which presents many analytical problems (for a review, see Long [4]). Because of both the complexity and analytical difficulties, yield curve estimation has generally utilized rather ad hoc specifications. Thus, the recent article by Echols and Elliot [1] is to be applauded because it attempts to rigorously derive a yield curve specification based upon the pure expectations model of the term structure of interest rates.

Type
Research Article
Copyright
Copyright © School of Business Administration, University of Washington 1980

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References

REFERENCES

[1]Echols, Michael E. and Elliot, Jan Walter. “A Quantitative Yield Curve Model for Estimating the Term Structure of Interest Rates.” Journal of Financial and Quantitative Analysis, Vol. 11 (03 1976), pp. 87114.Google Scholar
[2]Echols, Michael E. and Elliot, Jan WalterMarket Segmentation, Speculative Behavior, and the Term Structure of Interest Rates.” The Review of Economics and Statistics, Vol. 58 (02 1976), pp. 4047.Google Scholar
[3]Echols, Michael E. and Elliot, Jan Walter “Rational Expectations in a Disequilibrium Model of the Term Structure.” American Economic Review (03 1976).Google Scholar
[4]Long, John B. Jr, “Stock Prices, Inflation and the Term Structure of Interest Rates.” Journal of Financial Economics, Vol. 1 (1974), pp. 131170.Google Scholar