Journal article
FORECASTING THE TREASURY BILL RATE: A TIME‐VARYING COEFFICIENT APPROACH
The Journal of financial research, v 14(4), pp 327-336
1991
Featured in Collection : UN Sustainable Development Goals @ Drexel
Abstract
In this paper a time‐varying coefficient model is developed using a Kalman filter methodology to test the term structure of interest rates. Since the model is characterized by continuing revision of the estimates when new information arrives, it is capable of capturing the dynamic interest rate behavior, thereby increasing the forecasting accuracy of the future spot rates. With the constant expectations hypothesis rejected, the forecasting accuracy is substantially increased.
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Details
- Title
- FORECASTING THE TREASURY BILL RATE: A TIME‐VARYING COEFFICIENT APPROACH
- Creators
- Thomas C. Chiang - Drexel UniversityDouglas R. Kahl - University of Akron
- Publication Details
- The Journal of financial research, v 14(4), pp 327-336
- Publisher
- Wiley
- Number of pages
- 10
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- [Retired Faculty]
- Web of Science ID
- WOS:A1991GX78000004
- Scopus ID
- 2-s2.0-84986467873
- Other Identifier
- 991019174721904721
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- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Business, Finance