Journal of Finance Vol. 44 No. 5 1989
Some Empirical Estimates of the Risk Structure of Interest Rates
Abstract
This paper investigates the risk structure of interest rates using pure discount bonds. The most striking feature of our estimates of default‐risk premia is the resemblance of their time profile to the theoretical time profile obtained by Merton (1974) .
- DOI
- 10.1111/j.1540-6261.1989.tb02657.x
- Volume
- 44
- Issue
- 5
- Pages
- 1351-1360
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref