Bond Price and Impulse Response Function for the Balduzzi, Das, Foresi and Sundaram (1996) Model

In this paper, we analyse the Affine Term Structure Model (ATSM) proposed by Balduzzi, Das, Foresi and Sundaram (BDFS, 1996) and provide the closed-form expression of the bond price. In addition, we extend the notion of Impulse Response Function to the class of ATSM. We show that it is closely related to the duration measure, and we compute it explicitly in the BDFS model. Copyright Banca Monte dei Paschi di Siena SpA, 2004

MoreLess

Year of publication:	2004
Authors:	Grasselli, Martino ; Tebaldi, Claudio
Published in:	Economic Notes. - Banca Monte dei Paschi di Siena SpA. - Vol. 33.2004, 3, p. 359-374
Publisher:	Banca Monte dei Paschi di Siena SpA

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005234187