Modèles factoriels de la structure par termes des taux d'intérêt : Théorie et application économétrique

Most models of the term structure show a factor structure, where interest rates depend linearly on some factors. We derive in a Heath, Jarrow and Morton [1992] type framework what the main consequences of this assumption are, especially when volatilities are stochastic. We show that such a framework is able to encompass most of previous models. Secondly, we propose an econometric methodology to estimate the special case of the Linear Gaussian Model.

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Year of publication:	1995
Authors:	FRACHOT, Antoine ; LESNE, Jean-Philippe
Published in:	Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 1995, 40, p. 11-36
Publisher:	École Nationale de la Statistique et de l'Admnistration Économique (ENSAE)

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005066067