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Modeling Returns on the Term Structure of Treasury Interest Rates

Author

Listed:
  • Christopher F. Baum

    (Boston College)

  • Basma Bekdache

    (Wayne State University)

Abstract

To what degree are term structure models fitted to time series data likely to be stable? Where are the sources of instability? How well might highly parameterized models, such as GARCH models, be able to capture this behavior? These are questions that have occupied many researchers which we address in this paper by trying to identify common factors which underly the movements of the term structure of Treasury interest rates, and consider how well models based on those common factors perform.

Suggested Citation

  • Christopher F. Baum & Basma Bekdache, 1995. "Modeling Returns on the Term Structure of Treasury Interest Rates," Boston College Working Papers in Economics 288., Boston College Department of Economics.
    • Handle: RePEc:boc:bocoec:288
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    File URL: http://fmwww.bc.edu/EC-P/wp288.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    term structure; GARCH; bond returns;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes

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