In this paper we propose a family of discrete-time term structure models where we specify a Gaussian autoregressiveof order p 1 historical and risk-neutral dynamics for the factor (xt), considered as a latent or observable variable: inthe second case the factor is a vector of several yields. We...

The purpose of this paper is to propose a general econometric approach to asset pricing modelling based onthree main ingredients : (i) the historical discrete-time dynamics of the factor representing the information, (ii)the Stochastic Discount Factor (SDF), and (iii) the discrete-time...

The purpose of the paper is to propose a global discrete-time modeling of the term structure of interest ratesable to capture simultaneously the following important features : (i) an historical dynamics of the factor drivingterm structure shapes involving several lagged values, and switching...

We consider a quadratic stochastic intensity model with Gaussian autore-gressive factor, derive explicit formulas for the predictive mortality tables andprovide the recursive updating formulas are also provided. We also explainhow to use appropriately the Kalman ¯lter to estimate the parameters...