Hördahl, Peter (contributor); Tristani, Oreste (contributor) - 2007
yields that are almost as volatile as short-term interest rates. At the same time, we are able to fit sample moments of … markets, including the behaviour of the term structure of interest rates. We
find, in contrast, that with some modifications … by the model are almost as volatile as
short-term interest rates, in line with the observed behaviour of yields …