The Behavior of Interest Rates Implied by the Term Structure of Eurodollar Futures
构建了一个由短期利率和回归目标水平两个随机因素决定的期限结构均衡模型，利用卡尔曼滤波估计参数，并比较了模型预测的即期LIBOR和欧洲美元期货波动率期限结构与实际数据，发现双因子模型显著优于单因子模型。
This paper considers an equilibrium model of the term structure that is determined by two stochastic factors: a short-term interest rate and a target level to which the short rate is expected to revert. A Kalman filter technique that uses a time series, cross-section of Eurodollar futures prices is developed to estimate the parameters of the model. The term structures of spot LIBOR and Eurodollar futures volatility are compared to that predicted by the model. The empirical results indicate that the two-factor specification represents a significant improvement over its one-factor version. Copyright 1996 by Ohio State University Press.