Search datasets

• Organization: Board of Governors of the Federal Reserve System

The yield curve, also called the term structure of interest rates, refers to the relationship between the remaining time-to-maturity of debt securities and the yield on those securities. Yield...

• Organization: Board of Governors of the Federal Reserve System

This is a no-arbitrage dynamic term structure model, implemented as in Kim and Wright using the methodology of Kim and Orphanides. The underlying model is the standard affine Gaussian model with...