Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional quot;expectations theory,quot; we show that these findings are not puzzling relative to a large class of richer dynamic terms structure models. Specifically, we are able to...

In this paper, we explore the features of affine term structure models that are empirically important for explaining the joint distribution of yields on short and long-term interest rate swaps. We begin by showing that the family of N-factor affine models can be classified into N+1 non-nested...

This chapter surveys the literature on fixed-income pricing models, including dynamic term structure models (DTSMs) and interest rate sensitive, derivative pricing models. This literature is vast with both the academic and practitioner communities having proposed a wide variety of models and...

Though linear projections of returns on the slope of the yield curve have contradicted the implications of the traditional quot;expectations theory,quot; we show that these findings are not puzzling relative to a large class of richer dynamic terms structure models. Specifically, we are able to...

We construct a model for pricing sovereign debt that accounts for the risks of both default and restructuring, and allows for compensation for illiquidity. Using a new and relatively efficient method, we estimate the model using Russian dollar-denominated bonds. We consider the determinants of...

This chapter surveys the literature on fixed-income pricing models, includ- ing dynamic term structure models (DTSMs) and interest rate sensitive, derivative pricing models. This literature is vast with both the academic and practitioner communities having proposed a wide variety of models and...

This paper develops a rich class of discrete-time, nonlinear dynamic term structure models (DTSMs). Under the risk-neutral measure, the distribution of the state vector Xt resides within a family of discrete-time affine processes that nests the exact discrete-time counter parts of the entire...

In the setting of affineamp;apos; jump-diffusion state processes, this paper provides an analytical treatment of a class of transforms, including various Laplace and Fourier transforms as special cases, that allow an analytical treatment of a range of valuation and econometric problems. Example...

This paper characterizes, interprets, and tests the over-identifying restrictions imposed in affine models of the termquot; structure. Letting r(t) = euml; Y(t), where Y is an unobserved vector affine process, our analysis proceeds in three steps. First, we show that affine models can be...

This paper provides a simulated moments estimator (SME) of the parameters of dynamic models in which the state vector follows a time-homogeneous Markov process. Conditions are provided for both weak and strong consistency as well as asymptotic normality. Various tradeoff's among the regularity...