historical and the risk-neutral state vector dynamics which is wider than the one implied by a classical exponential …

) methods for selecting a combination of common and local factors that characterize the joint dynamics of multi-country term …

capture simultaneously the following important features : (i) an historical dynamics of the factor driving term structure …

Macroeconomic questions involving interest rates generally require a reliable joint dynamics of a large set of … reliable predictions of some key variables. Second, it must be able to propose a joint dynamics of some macroeconomic variables … interactions of this large set of variables is based on the statistical notion of New Information Response Function, recently …

three main ingredients: (i) the historical discrete-time dynamics of the factor representing the information, (ii) the … Stochastic Discount Factor (SDF), and (iii) the discrete-time risk-neutral (R.N.) factor dynamics. Retaining an exponential …-Car) historical dynamics and a Car R.N. dynamics leading to explicit or quasi explicit pricing formulas for various derivative …

literature regarding not only the total number of latent factors required to explain the joint dynamics of yield curves, but also …