The purpose of this paper is to propose discrete-time term structure models where the historical dynamics of the factor … Structure Models. We investigate, under the risk-neutral and the S-forward probability, the Moving Average (or discrete … function of the p most recent lagged values of xt+1. We study the Gaussian AR(p) and the Gaussian VAR(p) Factor-Based Term …

Switching Vector Autoregressive Gamma (SVARG) Factor-Based Term Structure Models of order p. Regime shifts are described by a … Structure Models of order p. The second family of models we study is given by the Switching Autoregressive Gamma (SARG) and the … given by the Switching Autoregressive Normal (SARN) and the Switching Vector Autoregressive Normal (SVARN) Factor-Based Term …