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dc.contributor.authorRiedel, Franken
dc.date.accessioned2012-10-25-
dc.date.accessioned2012-11-19T15:23:30Z-
dc.date.available2012-11-19T15:23:30Z-
dc.date.issued1997-
dc.identifier.piurn:nbn:de:kobv:11-10064059en
dc.identifier.urihttp://hdl.handle.net/10419/66288-
dc.description.abstractThe 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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x1997,19en
dc.subject.jelG12en
dc.subject.jelE43en
dc.subject.ddc330en
dc.subject.keywordterm structure of interest ratesen
dc.subject.keywordexpectations hypothesesen
dc.titleA class of Health-Jarrow-Morton models in which the unbiased expectations hypothesis holds-
dc.typeWorking Paperen
dc.identifier.ppn728567407en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:199719en

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