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Many continuous time term structure of interest rate models assume a factor structure where the drift and volatility functions are affine functions of the state variable process. These models involve very specific parametric choices of factors and functional specifications of the drift and...
Persistent link: https://www.econbiz.de/10005100561
Understanding the dynamics of interest rates and the term structure has important implications for issues as diverse as real economic activity, monetary policy, pricing of interest rate derivative securities and public debt financing. Our paper follows a longstanding tradition of using factor...
Persistent link: https://www.econbiz.de/10005100562
This paper analyzes a large class of processes for the short-term interest rate that are derived in a discrete-time equilibrium framework. The dynamics of interest rates and yields are driven by the dynamics of the conditional volatility of the state variable. Under appropriate parameter...
Persistent link: https://www.econbiz.de/10005100611
This paper proposes a unified state-space formulation for parameter estimation of exponential-affine term structure models. This class of models, charaterized by Duffie and Kan (1993), contains models such as Vasicek (1977), Cox, Ingersoll and Ross (1985) and Chen and Scott (1992), among others....
Persistent link: https://www.econbiz.de/10005417559