Duan, Jin-Chuan; Jacobs, Kris - In: Journal of Empirical Finance 15 (2008) 3, pp. 567-581
This paper analyzes a class of nonnegative processes for the short-term interest rate. The dynamics of interest rates and yields are driven by the dynamics of the conditional volatility of the pricing kernel. We study Markovian interest rate processes as well as more general non-Markovian...
