Showing 1 - 10 of 82
In this paper, we explore the features of affine term structure models that are empirically important for explaining the joint distribution of yields on short- and long-term interest rate swaps. We begin by showing that the family of N-factor affine models can be classified into N+1 non-nested...
Persistent link: https://www.econbiz.de/10012744104
Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional expectations theory,' we show that these findings are not puzzling relative to a large class of richer dynamic term structure models. Specifically, we are able to match all...
Persistent link: https://www.econbiz.de/10012787777
Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional quot;expectations theory,quot; we show that these findings are not puzzling relative to a large class of richer dynamic terms structure models. Specifically, we are able to...
Persistent link: https://www.econbiz.de/10012768441
Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional quot;expectations theory,quot; we show that these findings are not puzzling relative to a large class of richer dynamic terms structure models. Specifically, we are able to...
Persistent link: https://www.econbiz.de/10012768484
Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional quot;expectations theory,quot; we show that these findings are not puzzling relative to a large class of richer dynamic terms structure models. Specifically, we are able to...
Persistent link: https://www.econbiz.de/10012768992
This paper characterizes, interprets, and tests the over-identifying restrictions imposed in affine models of the termquot; structure. Letting r(t) = euml; Y(t), where Y is an unobserved vector affine process, our analysis proceeds in three steps. First, we show that affine models can be...
Persistent link: https://www.econbiz.de/10012774938
This paper is a critical survey of models designed for pricing fixed income securities and their associated term structures of market yields. Our primary focus is on the interplay between the theoretical specification of dynamic term structure models and their empirical fit to historical changes...
Persistent link: https://www.econbiz.de/10012768494
This paper is a critical survey of models designed for pricing fixed income securities and their associated term structures of market yields. Our primary focus is on the interplay between the theoretical specification of dynamic term structure models and their empirical fit to historical changes...
Persistent link: https://www.econbiz.de/10012768831
This paper is a critical survey of models designed for pricing fixed income securities and their associated term structures of market yields. Our primary focus is on the interplay between the theoretical specification of dynamic term structure models and their empirical fit to historical changes...
Persistent link: https://www.econbiz.de/10012769057
This paper develops and empirically implements an arbitrage-free, dynamic term structure model with "priced" factor and regime-shift risks. The risk factors are assumed to follow a discrete-time Gaussian process, and regime shifts are governed by a discrete-time Markov process with...
Persistent link: https://www.econbiz.de/10005372741