Modeling Returns on the Term Structure of Treasury Interest Rates

Christopher Baum and Basma Bekdache

No 288., Boston College Working Papers in Economics from Boston College Department of Economics

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.

Keywords: term structure; GARCH; bond returns (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Pages: 29 pages
Date: 1995-06
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Published in Computational Approaches to Economic Problems, H. Amman et al.,eds., Kluwer Academic Publishers, 1997.

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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocoec:288

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