a proportionality constant which is comparable to the spot rate volatility. This suggests that forward rate market … volatility `hump' around one year found by several authors (and which we confirm). Finally, the number of independent components …

Expected inflation is a major decision factor of various economic agents. Since expected inflation is not directly … observable, economists have been seeking ways of extracting market’s inflation expectations from observable variables. One of the … most reliable sources of inflation expectations is the term structure of interest rates. This paper presents the …

equities fail the test as inflation hedges, as had been quite widely believed, but that they take so long to pass. …

maturity has its own uniqueness and accordingly supports the Market Segmentation theory. The findings also imply that affine …

on the specification of the volatility structure of forward rates. Thus, if any errors exist on the observed yield curve … the cap implied volatility. Incorporating the three residual factors improves the explained variance in cap implied … volatility to over 95 percent. We investigate the reasons behind the ``amplification'' of yield curve residuals in pricing …

interest rate options (the implied volatility surface). We find that the options market exhibits factors independent of the … three additional factors to capture the movement of the implied volatility surface. …

approach is applied to estimate the volatility structure implied by futures contracts traded on the Chicago Mercantile Exchange. …

Merton�s Intertemporal CAPM to test whether these four sources of risk command different risk prices. The model performs well …

. Such prices determine intrinsic returns that satisfy the CAPM equation. This paper shows that assets that pay a constant … predicts slightly higher discount rates than the CAPM. Empirical evidence supporting the CAPM cannot reject the RVT at a …