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A Markov Model of the Term Structure

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  • Gordon Pye

Abstract

Introduction, 60. — A Markov expectations model, 61. — Markov forecasts of the future interest rates, 66. — Observed yield curves, 69.

Suggested Citation

  • Gordon Pye, 1966. "A Markov Model of the Term Structure," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 80(1), pages 60-72.
    • Handle: RePEc:oup:qjecon:v:80:y:1966:i:1:p:60-72.
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    File URL: http://hdl.handle.net/10.2307/1880579
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    Cited by:

    1. Lengwiler, Yvan & Lenz, Carlos, 2010. "Intelligible factors for the yield curve," Journal of Econometrics, Elsevier, vol. 157(2), pages 481-491, August.
    2. Çanakoglu, Ethem & Özekici, Süleyman, 2010. "Portfolio selection in stochastic markets with HARA utility functions," European Journal of Operational Research, Elsevier, vol. 201(2), pages 520-536, March.
    3. Mamon, Rogemar S., 2002. "A time-varying Markov chain model of term structure," Statistics & Probability Letters, Elsevier, vol. 60(3), pages 309-312, December.
    4. Celikyurt, U. & Ozekici, S., 2007. "Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach," European Journal of Operational Research, Elsevier, vol. 179(1), pages 186-202, May.
    5. Karl Waldmann, 1998. "On granting credit in a random environment," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 47(1), pages 99-115, February.
    6. Jacob A. Mincer, 1969. "Models of Adaptive Forecasting," NBER Chapters, in: Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance, pages 83-111, National Bureau of Economic Research, Inc.
    7. Guglielmo D'Amico & Raimondo Manca & Giovanni Salvi, 2012. "A Semi-Markov Modulated Interest Rate Model," Papers 1210.3164, arXiv.org.
    8. David Landriault, 2008. "On a generalization of the expected discounted penalty function in a discrete‐time insurance risk model," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 24(6), pages 525-539, November.
    9. Emmanuelle Clément & Christian Gourieroux & Alain Monfort, 1995. "Linear Factor Models and the Term Structure of Interest Rates," Annals of Economics and Statistics, GENES, issue 40, pages 37-65.
    10. Robert J. Elliott & William C. Hunter & Barbara M. Jamieson, 2000. "Financial signal processing: a self calibrating model," Working Paper Series WP-00-21, Federal Reserve Bank of Chicago.
    11. Ethem Çanakoğlu & Süleyman Özekici, 2009. "Portfolio selection in stochastic markets with exponential utility functions," Annals of Operations Research, Springer, vol. 166(1), pages 281-297, February.
    12. Wu, Huiling & Chen, Hua, 2015. "Nash equilibrium strategy for a multi-period mean–variance portfolio selection problem with regime switching," Economic Modelling, Elsevier, vol. 46(C), pages 79-90.
    13. A. Lust & K.-H. Waldmann, 2019. "A general storage model with applications to energy systems," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 41(1), pages 71-97, March.
    14. Hinderer, K. & Waldmann, K. -H., 2001. "Cash management in a randomly varying environment," European Journal of Operational Research, Elsevier, vol. 130(3), pages 468-485, May.

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