Gourieroux, Christian; Sufana, Razvan - In: Journal of Economic Dynamics and Control 35 (2011) 6, pp. 815-824
This paper reveals that the class of Affine Term Structure Models (ATSMs) introduced by Duffie and Kan (1996) is larger than previously considered in the literature. In the framework of risk factors following a Wishart autoregressive process, we define the Wishart Term Structure Model (WTSM) as...