Parsimoneous Modeling of Yield Curves for U.S. Treasury Bills
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A new model is proposed for representinq the term to maturity structure of interest rates at a point in time.The model produces humped, monotonic and S-shaped yield curves using four parameters. Conditional on a time decay parameter, estimates of the other three are obtained by least squares. Yield
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美国国家经济研究局创建时间：
1985-03-01
