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Essays on the theory and estimation of term structure models

Author: Santa-Clara, Pedro INSEAD Area: FinancePublisher: Fontainebleau : INSEAD, 1996.Language: EnglishDescription: 121 p. ; 31 cm.Type of document: INSEAD ThesisThesis Note: For the degree of Ph.D. in management, INSEAD, 1996Bibliography/Index: Includes bibliographical referencesAbstract: Intertemporal problems in economics, such as investment and consumption over time, depend crucially on interest rates, which represent the oportunity cost of money into the future. Besides their importance, what makes studying interests rates so fascinating is that: (1) at any point in time there is a whole collection of interest rates for different maturities, (2) all these rates change stochastically through time and (3) the shape of the curve formed by interest rates at a given date is related to its dynamics. This dissertation studies theoretically and empirically the behavior of the term structure of interest rates through time
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For the degree of Ph.D. in management, INSEAD, 1996

Includes bibliographical references

Intertemporal problems in economics, such as investment and consumption over time, depend crucially on interest rates, which represent the oportunity cost of money into the future. Besides their importance, what makes studying interests rates so fascinating is that: (1) at any point in time there is a whole collection of interest rates for different maturities, (2) all these rates change stochastically through time and (3) the shape of the curve formed by interest rates at a given date is related to its dynamics. This dissertation studies theoretically and empirically the behavior of the term structure of interest rates through time

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