Informational Content in Interest Rate Term Structures
利用连续套利定价原理，推导出利率期限结构作为两个特定利率函数的闭式表达式，检验并拒绝了两个一维子模型，支持期限结构至少是二维的，并发现其信息含量集中在较长期限。
Employing continuous arbitrage pricing principles, closed-form expressions for the term structure of interest rates as functions of two specific rates are developed. Model restrictions to the two one-dimensional submodels are tested and rejected, thereby supporting the hypothesis that the term structure is at least two-dimensional. Evidence is also presented that supports the view that the informational content of the term structure lies in its longer maturities. Copyright 1993 by MIT Press.