Brignone, Riccardo; Gerhart, Christoph; Lütkebohmert, Eva - In: Mathematics and Financial Economics 16 (2021) 2, pp. 239-266
We propose an affine term structure model that allows for tenor-dependence of yield curves and thus for different risk categories in interbank rates, an important feature of post-crisis interest rate markets. The model has a Nelson–Siegel factor loading structure and thus economically well...