haku: @author Boero, G. / yhteensä: 4
viite: 3 / 4
| Tekijä: | Boero, G. Torricelli, C. |
| Otsikko: | A comparative evaluation of alternative models of the term structure of interest rates |
| Lehti: | European Journal of Operational Research
1996 : AUG 23, VOL. 93:1, p. 205-223 |
| Asiasana: | OPERATIONAL RESEARCH INTEREST RATES ARBITRAGE |
| Kieli: | eng |
| Tiivistelmä: | In the paper alternative models of the term structure of interest rates are classified in two different approaches: the no-arbitrage and the general equilibrium approach. It is maintained that the general equilibrium approach is superior on a theoretical ground for two main reasons: first, relevant variables, such as the spot interest rate and the interest risk-premium, are endogenous; second, the relationship between the real and the financial side of the economy becomes a clear and important element in the understanding of the term structure. |
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