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Three models of the term structure of interest rates
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Rhee, Joonhee (1998) Three models of the term structure of interest rates. PhD thesis, University of Warwick.
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Official URL: http://webcat.warwick.ac.uk/record=b1363703~S1
Abstract
In this dissertation, we consider the stochastic volatility of
short rates, the jump property of short rates, and market
expectation of changes in interest rates as the crucial factors in
explaining the term structure of interest rates. In each chapter,
we model the term structure of interest rates in accordance with
these factors.
| Item Type: | Thesis or Dissertation (PhD) | ||||
|---|---|---|---|---|---|
| Subjects: | H Social Sciences > HB Economic Theory | ||||
| Library of Congress Subject Headings (LCSH): | Interest rates -- Econometric models | ||||
| Official Date: | August 1998 | ||||
| Dates: |
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| Institution: | University of Warwick | ||||
| Theses Department: | Warwick Business School | ||||
| Thesis Type: | PhD | ||||
| Publication Status: | Unpublished | ||||
| Supervisor(s)/Advisor: | Webber, Nick | ||||
| Extent: | v, 181, xviii leaves | ||||
| Language: | eng | ||||
| URI: | http://wrap.warwick.ac.uk/id/eprint/36336 |
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