Many financial time series models are specified through a structural representation. Nonetheless, knowing their reduced ARMA form may be useful for impulse response analysis, filtering, forecasting, and for purposes of statistical inference. This ARMA representation is the analytical...

This paper presents several applications to interest rate risk management based on a two-factor continuous-time model of the term structure of interest rates previously presented in Moreno (1996). This model assumes that default free discount bond prices are determined by the time to maturity...

This paper presents a two-factor (Vasicek-CIR) model of the term structure of interest rates and develops its pricing and empirical properties. We assume that default free discount bond prices are determined by the time to maturity and two factors, the long-term interest rate and the spread....

This paper presents a two--factor model of the term structure of interest rates. We assume that default free discount bond prices are determined by the time to maturity and two factors, the long--term interest rate and the spread (difference between the long--term rate and the short--term...

An arbitrage-free two-factor model is presented, which is driven by the short rate and the consol yield, and which ensures log-normal short rate and positive rates. The market price of an arbitrary (discrete) set of discount bonds is recovered by construction, and an arbitrary degree of...