Dewachter, Hans; Iania, Leonardo; Lemke, Wolfgang; … - 2018
over the period 2001-2015. The proposed multi-market, no-arbitrage affine term structure model is based on the methodology … proposed by Dewachter, Iania, Lyrio, and Perea (2015). We model jointly the "risk-free curve", measured by overnight index swap … (OIS) rates, and the corporate yield curves for two rating classes (A and BBB). The model includes four spanned and six …