The behavior of interest rates implied by the term structure of Eurodollar futures.(includes five-page comment on the article): An article from: Journal of Money, Credit & Banking
Book Details
PublisherOhio State University Press
ISBN / ASINB00096LSF6
ISBN-13978B00096LSF9
AvailabilityAvailable for download now
Sales Rank13,130,248
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This digital document is an article from Journal of Money, Credit & Banking, published by Ohio State University Press on August 1, 1996. The length of the article is 7700 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.
From the author: This paper considers an equilibrium model of the term structure that is determined by two stochastic factors: a short term interest rate and a target level to which the short rate is expected to revert. A Kalman filter technique that uses a time series, cross-section of Eurodollar futures prices is developed to estimate the parameters of the model. The term structures of spot LIBOR and Eurodollar futures volatility are compared to that predicted by the model. The empirical results indicate that the two factor specification represents a significant improvement over its one factor version.
From the supplier: This paper considers an equilibrium model of the term structure that is determined by two stochastic factors: a short term interest rate and a target level to which the short rate is expected to revert. A Kalman filter technique that uses a time series, cross-section of Eurodollar futures prices is developed to estimate the parameters of the model. The term structures of spot LIBOR and Eurodollar futures volatility are compared to that predicted by the model. The empirical results indicate that the two factor specification represents a significant improvement over its one factor version. (Reprinted by permission of the publisher.)
Citation Details
Title: The behavior of interest rates implied by the term structure of Eurodollar futures.(includes five-page comment on the article)
Author: Narasimhan Jegadeesh
Publication:Journal of Money, Credit & Banking (Refereed)
Date: August 1, 1996
Publisher: Ohio State University Press
Volume: v28 Issue: n3 Page: p426(26)
Distributed by Thomson Gale
From the author: This paper considers an equilibrium model of the term structure that is determined by two stochastic factors: a short term interest rate and a target level to which the short rate is expected to revert. A Kalman filter technique that uses a time series, cross-section of Eurodollar futures prices is developed to estimate the parameters of the model. The term structures of spot LIBOR and Eurodollar futures volatility are compared to that predicted by the model. The empirical results indicate that the two factor specification represents a significant improvement over its one factor version.
From the supplier: This paper considers an equilibrium model of the term structure that is determined by two stochastic factors: a short term interest rate and a target level to which the short rate is expected to revert. A Kalman filter technique that uses a time series, cross-section of Eurodollar futures prices is developed to estimate the parameters of the model. The term structures of spot LIBOR and Eurodollar futures volatility are compared to that predicted by the model. The empirical results indicate that the two factor specification represents a significant improvement over its one factor version. (Reprinted by permission of the publisher.)
Citation Details
Title: The behavior of interest rates implied by the term structure of Eurodollar futures.(includes five-page comment on the article)
Author: Narasimhan Jegadeesh
Publication:Journal of Money, Credit & Banking (Refereed)
Date: August 1, 1996
Publisher: Ohio State University Press
Volume: v28 Issue: n3 Page: p426(26)
Distributed by Thomson Gale
