The Quarterly Journal of Economics · 1966 · 46 citations · 0 references
BusinessEconomicsFinanceEconometricsFinancial EconomicsStochastic ProcessesAsset Return ModelingFinancial RiskInterest Rate ModelingMarkov ChainsMarkov ProcessesState-space ModelsInterest Rate Term StructureStochastic Interest Rate ModelsTerm Structure EffectsYield Curve Dynamics
Introduction, 60. — A Markov expectations model, 61. — Markov forecasts of the future interest rates, 66. — Observed yield curves, 69.