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Modelling the term structure

Christoph Memmel & Lotta Heckmann-Draisbach

Financial Markets and Portfolio Management2025https://doi.org/10.1007/s11408-025-00482-9article
AJG 2ABDC B
Weight
0.50

What the paper says

Based on an analysis of changes in the yields of German government bonds, we propose a simple model for the term structure of interest rates and show that this model with two parameters (relating to the interest level and slope of the term structure) fits empirically well the data for a change horizon of one year or longer, especially in the low-interest environment, and give examples for applications. In addition, we provide closed-form solutions for some interest bearing instruments and give a new interpretation for the convexity when this linear model for the term structure is used.

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https://doi.org/https://doi.org/10.1007/s11408-025-00482-9

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@article{christoph2025,
  title        = {{Modelling the term structure}},
  author       = {Christoph Memmel & Lotta Heckmann-Draisbach},
  journal      = {Financial Markets and Portfolio Management},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.1007/s11408-025-00482-9},
}

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Evidence weight

0.50

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.50 × 0.4 = 0.20
M · momentum0.50 × 0.15 = 0.07
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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