Showing 1 - 9 of 9
Persistent link: https://www.econbiz.de/10012608653
Persistent link: https://www.econbiz.de/10011690399
Persistent link: https://www.econbiz.de/10012014691
Persistent link: https://www.econbiz.de/10009153287
Persistent link: https://www.econbiz.de/10003564807
Persistent link: https://www.econbiz.de/10003564820
Persistent link: https://www.econbiz.de/10003335020
Persistent link: https://www.econbiz.de/10012194648
This paper presents tractable discrete time ARP affine term structure models, in which the short rate is driven by autoregressive factors distributed according to Poisson mixtures of various probability densities. ARP models encompass popular ARG and VARG0 affine models based on autoregressive...
Persistent link: https://www.econbiz.de/10013310617