Comment on: “A Quantitative Yield Curve Model for Estimating the Term Structure of Interest Rates”

H. Russell Fogler and S. Ganapathy

Journal of Financial and Quantitative Analysis, 1980, vol. 15, issue 2, 449-456

Abstract: Term structure theories and the related specification of estimating equations are properly viewed as part of the complex multiperiod consumptioninvestment decision, a research area which presents many analytical problems (for a review, see Long [4]). Because of both the complexity and analytical difficulties, yield curve estimation has generally utilized rather ad hoc specifications. Thus, the recent article by Echols and Elliot [1] is to be applauded because it attempts to rigorously derive a yield curve specification based upon the pure expectations model of the term structure of interest rates.

Date: 1980
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