Gaussian Estimation of Single-Factor Continuous Time Models of The Term Structure of Interest Rates

Article Abstract:

Gaussian estimation methods for continuous time models of interest rate term structure have been used as an alternative to the discrete approximation used by Chan, Karolyi, Longstaff and Sanders (1992), with the advantage of reduced temporal aggregation bias. Topics discussed include the continuous time interest rate models, Gaussian estimation, data and results.

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Government Security Dealers' Positions, Information and Interest-Rate Expectations: A Note

Article Abstract:

The inventory of government security dealers is examined to determine what factors influence the positions. The volume of trade, bid-ask spread, financing costs and uncertainty all influence the dealers' positions. Current knowledge of dealer positions can improve interest rate forecasts.

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Corporate Behavior in Adjusting to Capital Structure and Dividend Targets: An Econometric Study

Article Abstract:

Corporate financial decision making is adjusted to long- term targeting in a two-phase model. Market imperfections lead to firm interdependencies and partial adjustment. Firm size, interest rate conditions, and stock price levels impact on adjustment speed.

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