Regression Yield Curves for U.S. Government Securities

Kalman J. Cohen, Robert L. Kramer and W. Howard Waugh
Additional contact information
Kalman J. Cohen: Carnegie Institute of Technology
Robert L. Kramer: Bankers Trust Company
W. Howard Waugh: Standard Oil Company (New Jersey)

Management Science, 1966, vol. 13, issue 4, B168-B175

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.

Date: 1966
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Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:13:y:1966:i:4:p:b168-b175

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