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Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/66288
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Riedel, Frank | | en_US |
| dc.date.accessioned | | 2012-10-25 | | en_US |
| dc.date.accessioned | | 2012-11-19T15:23:30Z | | - |
| dc.date.available | | 2012-11-19T15:23:30Z | | - |
| dc.date.issued | | 1997 | | en_US |
| dc.identifier.pi | | urn:nbn:de:kobv:11-10064059 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/66288 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | Humboldt-Universität Berlin | | en_US |
| dc.relation.ispartofseries | | Discussion Papers, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes 1997,19 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.jel | | E43 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | term structure of interest rates | | en_US |
| dc.subject.keyword | | expectations hypotheses | | en_US |
| dc.title | | A class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 728567407 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | en_US |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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