Le, Anh; Singleton, Kenneth J.; Dai, Qiang - In: Review of Financial Studies 23 (2010) 5, pp. 2184-2227
This article develops a rich class of discrete-time, nonlinear dynamic term structure models (DTSMs). Under the risk-neutral measure, the distribution of the state vector X<sub>t</sub> resides within a family of discrete-time affine processes that nests the exact discrete-time counterparts of the entire...
