Cheng, Yuyang; Escobar, Marcos; Gong, Zhenxian - In: Journal of Risk and Financial Management 12 (2019) 4, pp. 121
This paper proposes and investigates a multivariate 4/2 Factor Model. The name 4/2 comes from the superposition of a CIR term and a 3/2-model component. Our model goes multidimensional along the lines of a principal component and factor covariance decomposition. We find conditions for...
