A Two-Factor Model of the German Term Structure of Interest Rates.

In this paper we show that a two-factor constant volatility model provides an adequate description of the dynamics and shape of the German term structure of interest rates from 1972 up to 1998.

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Year of publication:	2001
Authors:	Cassola, N. ; Luis, J.B.
Institutions:	Quebec a Montreal - Recherche en gestion
Subject:	EXPECTATIONS \| PRICING \| ECONOMIC MODELS

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Series:	Quebec a Montreal - Recherche en gestion.
Type of publication:	Book / Working Paper
Notes:	62 pages
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005669528