Affine term structure model
Theory and empirics of an affine term structure model applied to European data
... An affine term structure model is derived using a state space system with an observation equation which links observable yields to these macroeconomic variables and a state equation which ...
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An Interpretation of An Affine Term Structure Model for Chile
... The model estimates suggest that the instantaneous rate is more volatile and exhibits short-lived deviations from its time-varying mean, while the time-varying central tendency exhibits a weak reversion to its ...
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Arbitrage Free Gaussian Affine Term Structure Model with Observable Factors
... discrete-time affine multifactor model of the term structure of inter- est rates in which the pricing factors that follow a Gaussian first-order vector autoregression are observable and there ...
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Identification and Estimation of Gaussian Affine Term Structure Models with Regime Switching
... Gaussian affine term structure model for the sample of observed data, and can therefore be used as a basis for assessing ...the model is unidentified at that point and there is no way ...
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Liquidity adjusted benchmark yield curves: a look at trading concentration and information
... Based on an affine term structure model, we develop a long run liquidity weighted fitting method to address the trading concentration phenomenon arising from horizon-induced clientele eq[r] ...
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Essays on Econometric Evaluation of Models of Commodity Futures Prices
... an affine term structure model and new approaches to determining the number of factors in such ...for affine term struc- ture ...
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Long Memory Affine Term Structure Models
... volatility term structure, es- pecially for long ...Vasicek-type model, spelling out the theoretical implication for long term yields, forwards and ...the model presented in Section 4: ...
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Inflation targeting and term premia estimates for Latin America
... dynamic term structure models for four Latin American countries (Chile, Colombia, Mexico and ...Nelson–Siegel term structure model, we generate synthetic bond-price contracts and use ...
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Exponential affine diffusion term structure models : dimension, time homogeneity, and stochastic volatility
... (1996) model, which only involve one integral with respect to the maturity of the contingent claim under valuation (no m atter the dimension of the inter est rate model in use), and are therefore extremely ...
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The Role of Bounded Rationality in Macro Finance Affine Term Structure Models
... of term structure models that allow for the role of bounded rationality by incorporating either information-processing constraint or fear for mis-specification into affine term ...
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Nominal Term Structure and Term Premia Evidence from Chile
... the affine structure assumes that factors are a (non)linear combination of the interest rates, that could be observed or latent, which characterize the cross-section of the yield ...the model via ...
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Affine Diffusion Modeling of Commodity Futures Price Term Structure
... the model-implied derivative asset ...(1973) model is not consistent with the ...BS model have been made in several directions, including: constant elastic- ity volatility (CEV) model, Cox and ...
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The advantages of using excess returns to model the term structure
... the term structure of interest rates, which allows the cross section of returns to be modelled easily without necessarily adopting any specific model of the risk neutral dynamics, other than to ...
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A Regime Switching Model for the Term Structure of Credit Risk Spreads
... rating-based model for the term structure of credit risk spreads wherein the credit- worthiness of the issuer is represented as a finite-state continuous time Markov ...A model of the economy ...
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Currency Option Pricing under Stochastic Interest Rates and Extended Normal Distribution
... This paper is worked to solve for two deficiencies which Black-Scholes make. It extends Black-Scholes’ framework by incorporating the stochastic interest rates and the non-normal skewness and kurtosis distribution for ...
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Term Structure Dynamics, Macro Finance Factors and Model Uncertainty
... and model uncertainty as well as potential structural ...Nelson-Siegel model and several variations, and show that the gains in predictabil- ity is due to the ensemble of salient features – time-varying ...
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An affine symmetric image model and its applications
... Fig. 6 shows a simple classification experiment, where blocks are 64 × 64 pixels and 50% overlapped. The composited texture in the first row consists of three kinds of texture, whose number of significant directional ...
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Model and survey estimates of the term structure of US macroeconomic uncertainty
... It appears that the Bayesian approach (column 2) increases the estimates of EAU at horizons beyond h = 2 for both variables, but that this is largely o¤set for in‡ation once we consider the Double-MIDAS model. ...
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Arbitrage-Free Binomial Models of the Term Structure
... the term structure, which we know rules out the existence of arbitrage, then we can avoid this ...discrete-time model where the shortest time period is one unit of time, that is, ∆t = ...
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