The extended Kalman filter, which linearizes the relationship between security prices and state variables, is widely used in fixed income applications. We investigate if the unscented Kalman filter should be used to capture nonlinearities, and compare the performance of the Kalman filter to that...

When the relationship between security prices and state variables in dynamic term structure models is nonlinear, existing studies usually linearize this relationship because nonlinear fi?ltering is computationally demanding. We conduct an extensive investigation of this linearization and analyze...

We study the ability of three-factor affine term-structure models to extract conditional volatility using interest rate swap yields for 1991-2005 and Treasury yields for 1970-2003. For the Treasury sample, the correlation between model-implied and EGARCH volatility is between 60% and 75%. For...

La PME ne semble pas avoir bénéficié d’un grand intérêt quant aux rôles, composition et contribution de leur conseil d’administration (CA). La recherche sur cet organe a été, en effet, dominée par le cadre d’analyse de la théorie de l’agence et a attribué une attention quasi...

This article analyzes the predictability of asset returns that are discounted using a consumption-based discount factor. The main objective of the analysis is to investigate how ancillary statistical assumptions affect the performance of this model. It is shown that, unlike tests of...