TY  - JOUR
AB  - Discusses arbitrage pricing theory as a multifactor model for explaining rates of return on securities; and the use of principal components analysis to reduce the number of variables studies. Applies these ideas to returns on treasury bills and government bonds for 1,000 business days ending in March 1997 to obtain a set of three endogenous factors for the term structure of interest rates, forecasts returns for one‐day and 30‐day horizons and produces a time series of the forecast errors for eight short‐term interest rates. Compares the results with those from a single factor autoregessive forecasting model and finds that although their accuracy is similar for short horizons, the multifactor model is superior for longer horizons and shorter time to maturity.
VL  - 24
IS  - 9/10
SN  - 0307-4358
DO  - 10.1108/03074359810765778
UR  - https://doi.org/10.1108/03074359810765778
AU  - Miller Tom W.
AU  - Stone Bernell
AU  - Silver Harold R.
PY  - 1998
Y1  - 1998/01/01
TI  - Predictability of short‐term interest rates: a multifactor model for the term structure
T2  - Managerial Finance
PB  - MCB UP Ltd
SP  - 20
EP  - 71
Y2  - 2024/04/24
ER  -