Modeling the joint term structure of interest rates in the United States and the European Union, the two largest economies in the world, is extremely important in international finance. In this paper, we provide both theoretical and empirical analysis of multi-factor joint affine term structure...

The numerous empirical studies on affine term structure models have primarily focused on the in-sample fit of historical bond yields and ignored the out-of-sample forecast of future bond yields. Based on an omnibus nonparametric procedure for density forecast evaluation developed in this paper,...

We extend the maximum likelihood estimation method of Ait-Sahalia (2002) for time-homogeneous diffusions to time-inhomogeneous ones. We derive a closed-form approximation of the likelihood function for discretely sampled time-inhomogeneous diffusions, and prove that this approximation converges...