Aufsatz(gedruckt)#11980
EXPECTATIONS MODELS OF THE TERM STRUCTURE AND IMPLIED VARIANCE BOUNDS
In: Journal of political economy, Band 88, Heft 6, S. 1159-1176
ISSN: 0022-3808
VARIANCE BOUNDS ARE DERIVED FOR GENERAL PRESENT-VALUE RELATIONS INVOLVING THE EXPECTED FUTURE VALUES OF ANY FINITE NUMBER OF VARIABLES. THE ESTIMATORS OF THESE BOUNDS AND THE VARIANCE BEING BOUNDED ARE SHOWN TO HAVE A JOINT DISTRIBUTION COVERGING TO THAT OF THE MULTIVARIATE NORMAL, WITH MOVEMENTS WHICH CAN BE CONSISTENTLY ESTIMATED FROM THE DATA.
