Beyaert, Arielle; rez-Castej, Juan - In: The European Journal of Finance 6 (2000) 2, pp. 93-112
Nonlinear present value models are adjusted to data from the Spanish inter-bank market between 1986 and 1992, with the ultimate objective of testing the rational expectations hypothesis of the term structure of the interest rates. The nonlinearity stems from using models with two stochastically...