A Nonlinear Expectations Model of the Term Structure of Interest Rates with Time-Varying Risk Premia
构建并检验了一个允许扰动项条件异方差和序列相关的非线性利率期限结构模型，发现对数线性模型表现较差，表明建模时需同时考虑时变风险溢价和条件异方差。
A nonlinear expectations model of the term structure with time-varying risk premia is specified, estimated, and tested, allowing for conditional heteroskedasticity and serial correlation in the disturbance terms. The model is subsequently linearized by means of a stationary, lognormal distributional assumption, and a constant risk premium results. Relative to the nonlinear model, the loglinear model performs poorly. Further investigation suggests the importance of taking both a time-varying risk premium and conditional heteroskedasticity in disturbance terms into account when formulating and estimating the term structure. Copyright 1989 by Ohio State University Press.