Collin-Dufresne, Pierre; Goldstein, Robert S.; Jones, … - In: Journal of Financial Economics 94 (2009) 1, pp. 47-66
Most affine models of the term structure with stochastic volatility predict that the variance of the short rate should play a 'dual role' in that it should also equal a linear combination of yields. However, we find that estimation of a standard affine three-factor model results in a variance...