Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model

Abstract
This paper utilizes two factors (short-term interest rate and volatility of the short-tern interest rate) to develop a term structure.
Volume
47
Page
1259-1282
Year
1992
Categories
Financial and Statistical Methods
Asset and Econometric Modeling
Yield Curves
Actuarial Applications and Methodologies
Valuation
Publications
Journal of Finance
Authors
Francis Longstaff
Eduardo Schwartz