A Type of HJM Based Affine Model: Theory and Empirical Evidence
Year of publication: |
2013-10-14
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Authors: | Li, Haitao ; Ye, Xiaoxia |
Subject: | Affine Term Structure Model | HJM | Finite Dimensional Realization | Linear Realization Theory | State Space Framework | Macro-economy |
Series: | |
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Type of publication: | Book / Working Paper |
Notes: | published Number 2013-10-14 |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; E44 - Financial Markets and the Macroeconomy ; G12 - Asset Pricing |
Source: |
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