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Term structure models have attracted tremendous amount of attention in the last two decades. My first paper specifies the dynamic and cross-sectional behavior of bonds in the framework of the Linear or general affine term structure model (ATSM). After revisiting the basic theory of ATSM under...
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This paper studies dynamical and cross-sectional structures of bonds, typically used as riskfreeassets in mathematical finance. After reviewing a mathematical theory on commonfactors, also known as principal components, we compute empirical common factors for 10US government bonds (3month,...
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