Knight, John; Li, Fuchun; Yuan, Mingwei - In: Journal of Financial Econometrics 4 (2006) 2, pp. 204-237
This article proposes a semiparametric two-factor term structure model based on a consol rate and the spread between a short rate and the consol rate. The diffusion functions in both the consol rate and spread processes are nonparametrically specified so that the model allows for maximal...
