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Regression Yield Curves for U.S. Government Securities

Author

Listed:
  • Kalman J. Cohen

    (Carnegie Institute of Technology)

  • Robert L. Kramer

    (Bankers Trust Company)

  • W. Howard Waugh

    (Standard Oil Company (New Jersey))

Abstract

The uses of regression analysis to estimate market yield curves for U.S. Government securities are considered in this paper. Several possible regression models for this purpose are examined. It is found that models which regress either the before-tax yield or the after-tax yield of governments on the number of days remaining to maturity and the square of the logarithm of the number of days remaining to maturity can fruitfully be applied to actual market data in determining yield curves.

Suggested Citation

  • Kalman J. Cohen & Robert L. Kramer & W. Howard Waugh, 1966. "Regression Yield Curves for U.S. Government Securities," Management Science, INFORMS, vol. 13(4), pages 168-175, December.
    • Handle: RePEc:inm:ormnsc:v:13:y:1966:i:4:p:b168-b175
    DOI: 10.1287/mnsc.13.4.B168
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    Cited by:

    1. Emma Berenguer-Carceles & Ricardo Gimeno & Juan M. Nave, 2012. "Estimation of the Term Structure of Interest Rates: Methodology and Applications," Working Papers 12.06, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
    2. Pham, Toan M., 1998. "Estimation of the term structure of interest rates: an international perspective," Journal of Multinational Financial Management, Elsevier, vol. 8(2-3), pages 265-283, September.

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