MARC details
| 000 -LEADER |
|---|
| fixed length control field |
01640nam a22002537a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20241127100710.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
241127b |||||||| |||| 00| 0 eng d |
| 022 ## - INTERNATIONAL STANDARD SERIAL NUMBER |
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| International Standard Serial Number |
0312-8962 |
| 040 ## - CATALOGING SOURCE |
|---|
| Original cataloging agency |
MSU |
| Language of cataloging |
English |
| Transcribing agency |
MSU |
| Description conventions |
rda |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HD31 AUS |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Faff, Robert |
| Relator term |
author |
| 245 12 - TITLE STATEMENT |
|---|
| Title |
A re-examination of the empirical performance of the Longstaff and Schwartz two-factor term structure model using real yield data |
| Statement of responsibility, etc. |
created by Robert Faff and Sirimon Treepongkaruna |
| 264 1# - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Los Angeles: |
| Name of producer, publisher, distributor, manufacturer |
Sage, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2013. |
| 336 ## - CONTENT TYPE |
|---|
| Source |
rdacontent |
| Content type term |
text |
| Content type code |
txt |
| 337 ## - MEDIA TYPE |
|---|
| Source |
rdamedia |
| Media type term |
unmediated |
| Media type code |
n |
| 338 ## - CARRIER TYPE |
|---|
| Source |
rdacarrier |
| Carrier type term |
volume |
| Carrier type code |
nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Australian journal of management |
| Volume/sequential designation |
Volume 38, number 2 |
| 520 3# - SUMMARY, ETC. |
|---|
| Summary, etc. |
In this study, we apply the Longstaff and Schwartz (1992) two-factor term structure model to real yields across eight countries. As such, we improve on many prior studies that have inappropriately tested this formulation using nominal yield data. We use the generalized method of moments to test the cross-sectional restrictions imposed by the Longstaff and Schwartz model, as well as the Cox–Ingersoll–Ross one-factor model. Further, we compare the forecasting ability from both models. Our findings support the superiority of the two-factor model. We confirm general reliability of prior research in this area, despite the unfortunate reliance on nominal data in such earlier tests. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
Longstff-Schwartz two-factor model |
| Form subdivision |
Multi-country test |
| General subdivision |
Real yield data |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Treepongkaruna, Sirimon |
| Relator term |
co-author |
| 856 ## - ELECTRONIC LOCATION AND ACCESS |
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| Uniform Resource Identifier |
https://doi.org/10.1177/0312896212443691 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Library of Congress Classification |
| Koha item type |
Journal Article |