Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/66288
Authors: 
Riedel, Frank
Year of Publication: 
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: 
Document Type: 
Working Paper

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