We evaluate the statistical and economic differences between affine term-structure models. Despite the voluminous literature on this subject, we have a limited understanding of those structural features of the models that are important in practice. Given that the key distinguishing...

Unspanned stochastic volatility (USV) refers to the inability of bonds to replicate volatility-sensitive derivative securities. Affine term structure models require special restrictions on the parameters to exhibit USV. We use a joint Eurodollar futures and options data set to estimate affine...

We determine which macroeconomic variables other than inflation and real activity drive the yield curve using a no-arbitrage affine term structure models. We construct a model-based dynamic projection of all the latent factors onto the observable macro factors, which are real activity and...

We evaluate the ability of several affine models to explain the term structure of the interest rates and option prices. Since the key distinguishing characteristic of the affine models is the specification of conditional volatility of the factors, we explore models which have critical...

Unspanned stochastic volatility (USV) refers to the inability of bonds to replicate volatility-sensitive derivative securities. Affine term structure models require special restrictions on the parameters to exhibit USV. We use a joint Eurodollar futures and options data set to estimate affine...