Skip Navigation

This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Similar articles in ISI Web of Science
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrow Search for citing articles in:
ISI Web of Science (79)
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Constantinides, G. M.
Right arrow Search for Related Content
Related Collections
Right arrow E43 - Determination of Interest Rates; Term Structure of Interest Rates
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Rev Fin 1992; 5:531-552
© 1992 the Society for Financial Studies

Article

A theory of the nominal term structure of interest rates

GM Constantinides
Graduate School of Business, University of Chicago, 1101 E 58th Street, Chicago, IL 60637, USA

Abstract

A model of the nominal term structure of interest rates is developed that has a positive and stationary process for the interest rate and delivers closed form expressions for the prices of discount bonds and European options on bonds. Unlike the one-state-variable version of the Cox, Ingersoll and Ross (1985) model this model - even in its one-state-variable version - allows the term premium to change sign as a function of the state and the term to maturity, and also allows for shapes of the yield curve that are observed in the U.S. data but that are disallowed in the Cox, Ingersoll and Ross model


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?


This article has been cited by other articles:


Home page
 REV FINANC STUDHome page
F. Chabi-Yo, R. Garcia, and E. Renault
State Dependence Can Explain the Risk Aversion Puzzle
Rev. Financ. Stud., April 1, 2008; 21(2): 973 - 1011.
[Abstract] [Full Text] [PDF]

Home page
 Review of FinanceHome page
M. Leippold and L. Wu
Design and Estimation of Multi-Currency Quadratic Models
Review of Finance, January 31, 2007; (2007) rfl002v1.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
J. Liu
Portfolio Selection in Stochastic Environments
Rev. Financ. Stud., January 1, 2007; 20(1): 1 - 39.
[Abstract] [Full Text] [PDF]

Home page
 JOURNAL OF FINANCIAL ECONOMETRICSHome page
E. Ferreira and J. Gil-Bazo
Beyond Single-Factor Affine Term Structure Models
J. Financial Econometrics, September 1, 2004; 2(4): 565 - 591.
[Abstract] [Full Text] [PDF]


Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.