Around and Around: The Expectations Hypothesis
نویسندگان
چکیده
منابع مشابه
Around and around: The expectations hypothesis
We show how to construct arbitrage-free models of the term structure of interest rates in which various expectations hypotheses can hold. McCulloch (1993) provided a Gaussian non-Markovian example of the unbiased expectations hypothesis (U{EH), thereby contradicting the assertion by Cox, Ingersoll, and Ross (CIR, 1981) that only the so-called local expectations hypothesis could hold. We general...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 1998
ISSN: 0022-1082
DOI: 10.1111/0022-1082.145490