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Title:A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds PDF Logo
Authors:Riedel, Frank
Issue Date:1997
Series/Report no.:Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,19
Abstract:The unbiased expectations hypothesis states that forward rates are unbiased estimates for future short rates. Cox, Ingersoll and Ross [1] conjectured that this hypothesis should be inconsistent with the absence of arbitrage possibilities. Using the framework of Heath, Jarrow and Morton [4] we show that this is not always the case. The unbiased expectations hypothesis together with the existence of an equivalent martingale measure is equivalent to a certain condition on the volatilities of the forward rates.
Subjects:term structure of interest rates
expectations hypotheses
JEL:G12
E43
Persistent Identifier of the first edition:urn:nbn:de:kobv:11-10064059
Document Type:Working Paper
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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