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simple form with forward rates: as theory suggests, the largest discrepancies are at short maturities. (ii) Reasonable …
Persistent link: https://www.econbiz.de/10012472439
We assume that the instantaneous riskless rate reverts towards a central tendency which in turn, is changing stochastically over time. As a result, current short-term rates are not" sufficient to predict future short-term rates movements, as would be the case if the central" tendency was...
Persistent link: https://www.econbiz.de/10012472490