School of Economics, University of Cape Town.
NO-ARBITRAGE ONE-FACTOR MODELS OF THE SOUTH AFRICAN TERM STRUCTURE OF INTEREST RATES
Article first published online: 10 SEP 2012
© 2012 The Authors. Journal compilation © 2012 Economic Society of South Africa
South African Journal of Economics
Volume 80, Issue 3, pages 301–318, September 2012
How to Cite
ALING, P. and HASSAN, S. (2012), NO-ARBITRAGE ONE-FACTOR MODELS OF THE SOUTH AFRICAN TERM STRUCTURE OF INTEREST RATES. South African Journal of Economics, 80: 301–318. doi: 10.1111/j.1813-6982.2011.01311.x
We are thankful to the anonymous referees, and to Brett Dugmore, Greg Farrell, Johannes Fedderke, Stephen Hall, Alain Kabundi, David Taylor and Khathu Todani for useful discussions or comments on previous versions of the paper. The usual disclaimer applies.
The views expressed herein are those of the authors, and not necessarily those of the South African Reserve Bank.
- Issue published online: 10 SEP 2012
- Article first published online: 10 SEP 2012
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