affine term structure models
Identification and Estimation of Gaussian Affine Term Structure Models with Regime Switching
... regime-switching affine term structure model of [1] based on what we will refer to as their reduced-form ...Gaussian affine term structure models—namely, those for which ...
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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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Long Memory Affine Term Structure Models
... non-stationarity together with mean reversion, with its parameters being between 1/2 and 1 whereas the other two latent factors appear stationary, with their long memory parameter well within the range 0 and 1/2. The ...
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Continuous tenor extension of affine LIBOR models with multiple curves and applications to XVA
... the affine LIBOR model has been set up, we introduce an interpolating func- tion that allows extending the model from a discrete to a continuous tenor, and derive explicit expressions for the dynamics of the ...
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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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Nominal Term Structure and Term Premia Evidence from Chile
... of models that have worked with 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 ...
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Theory and empirics of an affine term structure model applied to European data
... dence index. The incorporation of a monetary aggregate has also been extensively dis- cussed in this paper and its inclusion in the model appears to us to be robust enough. This paper has also tested empirically an ...
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Arbitrage Free Gaussian Affine Term Structure Model with Observable Factors
... In this paper, although one of our goals is to classify a family of models that is convenient for empirical work, we are not directly concerned with estimation issues. We refer readers to the empirical studies for ...
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Inflation targeting and term premia estimates for Latin America
... the term structure itself, and estimate Nelson–Siegel yield curves for each to provide the necessary synthetic ...fit affine models in a few seconds and the complete procedure is extremely ...
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Option pricing in random field models with stochastic volatility for the term structure of interest rates
... square-root process for the variance-covariance matrix without separating the corre- lation and the volatility specification. The third method of estimation will be using Bayesian MCMC method to obtain the posterior ...
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Comparison of probabilistic and stochastic formulations in modeling growth uncertainty and variability
... the affine growth ...these affine growth laws simply because they provide (in general non-unique) empirical fits to field data sets and are popular forms for use in shrimp dynamics ...
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Liquidity adjusted benchmark yield curves: a look at trading concentration and information
... 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 equilibrium as well as ...
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Properties of foreign exchange risk premiums
... with term structure factor models include Nielsen and Sa´a-Requejo (1993), Sa´a-Requejo (1994), Bakshi and Chen (1997), and Bansal ...(affine) term structure theory to a ...
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Affine Diffusion Modeling of Commodity Futures Price Term Structure
... Diffusion models of commodity price behavior is an important tool for com- modity risk ...markets, models for the commodity markets remain ...existing models, which make them inadequate in modeling ...
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Exponential affine diffusion term structure models : dimension, time homogeneity, and stochastic volatility
... rate models studied in this dissertation are all (m ultifactor) exponential- affine models as characterized by Duffie and Kan (1996), which correspond to the m ajority of the models listed in ...
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Analytical Estimation of Value at Risk Under Thick Tails and Fast Volatility Updating
... VaR models under thick tails developed in this dissertation, this study uses the same bank sample that Jorion (2002) uses but for a time period extended from 1995:Q1–2002: ...
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Application of teh Kalman Filter to Interest Rate Modelling
... Many term structure models, including the Vasicek model, assume that the fundamental source of uncertainty in the economy is the short ...short term investment. All rates ultimately depend on ...
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Affine Anosov Diffeomorphims of Affine Manifolds
... Department of Mathematics, Collège Boréal, Campus de Toronto, 951 Carlaw avenue, Toronto, ON, Canada M4K 3M2 2 Department of Mathematics, Fields Institute Research in Mathematical Scie[r] ...
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The Meaning of Relativity and the Liberation of the Relationalists
... inertial structure 91 ...inertial structure as a theoretical ...inertial structure as a ...inertial structure as dynamical (via metric compatibility) is a necessary first step towards a ...
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Point in Time PD Term Structure Models with Loan Credit Quality as a Component
... PD term structure models used in industry for stress testing and IFRS9 expected loss estimation apply only to macroeconomic ...PD term model proposed in this paper extends the forward-looking ...
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