@article {Pag{\`e}s75, author = {Henri Pag{\`e}s}, title = {Interbank Interest Rates and the Risk Premium}, volume = {9}, number = {4}, pages = {75--95}, year = {2000}, doi = {10.3905/jfi.2000.319256}, publisher = {Institutional Investor Journals Umbrella}, abstract = {The article presents a one-factor affine model of the term structure of LIBOR with autocorrelated measurement errors. It can be viewed as a central tendency model; the theoretical arbitrage-free rates serve as stochastic means to which the observed rates revert. Two estimation techniques are compared, one based on a no measurement error assumption, the other on Kalman filtering. The estimates are then used in standard yield spread regressions with a view to accounting for the departure of future short rates from what the expectations hypothesis would predict.}, issn = {1059-8596}, URL = {https://jfi.pm-research.com/content/9/4/75}, eprint = {https://jfi.pm-research.com/content/9/4/75.full.pdf}, journal = {The Journal of Fixed Income} }