Long memory affine term structure models: empir-
Long Memory Affine Term Structure Models
... their long memory parameter well within the range 0 and ...a long memory parameter of about 1/4, in agreement with previous findings in the ...short memory yet with a relatively large ...
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Long Memory Affine Term Structure Models
... short term interest rate, given by E t (y 1,t+i $ ) = A $ 1 + B $0 1,1 E t (C 1,t+i ) + ...forward term premia (investing for five years time for a period of five years) evaluated using both the LM and SM ...
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Ergodicity properties of affine term structure models and applications
... traditional models based on Gaussian processes but also we have to consider the Lévy ...short term interest rate model which is an extension of the CIR model including positive ...basic affine jump ...
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Long Memory and the Term Structure of Risk
... Long Memory and the Term Structure of Risk Peter ...on long- term portfolio choice when return forecasting variables exhibit long ...model long memory using ...
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Testing Affine Term Structure Models in Case of Transaction Costs
... the long-maturity assets are quite small, relative to the standard deviations and the difference in ...since long-maturity bond prices are more volatile than short-maturity T-bill prices, and because the ...
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Affine multi-factor short-rate models in term structure modeling
... Chapman, Long, and Pearson 1999, using proxies to estimate parameters of short-rate models for single- factor affine models does not cause economically significant problems, but for more ...
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International Interest-Rate Risk Premia in Affine Term Structure Models
... unless long-term bond yields are equal to risk-adjusted expectations of future short-term ...called affine dynamic term structure models (ATSM) are the most popular among ...
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Can Affine Term Structure Models Help Us Predict Exchange Rates?
... the term structure of forward premiums (interest rate di¤erentials), are able to beat the long-standing and devastating result found by Meese and Rogo¤ (1983a,b) that standard empirical exchange rate ...
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Exponential affine diffusion term structure models : dimension, time homogeneity, and stochastic volatility
... nested models in favor o f the higher-dimensional ...factors) affine and time-homogeneous Gaussian model can fit extremely well the term structure o f interest rates (as predicted by the ...
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Long-Term Memory. Working Memory
... deep structure of problems, experts can either fluently recall past procedures or construct mental models based on similar recalled ...That memory requires slow physiological changes, over years of ...
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Evaluating the Latent Variable Structure of Episodic Long-Term Memory Abilities
... the structure of memory abilities such as might be revealed with a latent variable approach, EFA was used because of issues with chance performance and the novelty of some of the tasks, including the ways ...
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Affine Macroeconomic Models of the Term Structure of Interest Rates: The US Treasury Market 1961-99
... the long yield apparently acting as a proxy for slow-moving exogenous influences on output and in- ...Short term yields are naturally dominated by short run fluctuations in the macroeco- nomic variables ...
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An Affine Model of the Term Structure of Interest Rates in Mexico.
... the term struc- ture of interest rates in ...the term structure factors and macroeconomic ...the term structure of interest rates is important in …nance and macroeconomics for di¤erent ...
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Term premia and interest rate forecasts in affine models
... A long-established fact about Treasury yields is that the current term structure contains information about future term ...example, long-maturity bond yields tend to fall over time when ...
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Testable Implications of Affine Term Structure Models
... Affine term structure models have become a fundamental tool for empirical research in macro- economics and finance on the term structure of interest ...the term structure ...
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Estimating dynamic affine term structure models
... In the affine class of models bond yields are linear functions of the state variables. Duffee (2002) outlines that, depending on the form of the market price of interest rate risk, the linearity occurs in ...
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GMM Estimation of Affine Term Structure Models
... for affine models are ...the affine process via approximations of the Chapman/Kolmogorov forward ...multivariate affine term structure ...
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Identification and Estimation of Gaussian Affine Term Structure Models
... The results of this estimation for 100 different starting values are reported in Table 7. Our procedure uncovered three local minima to the objective function. The parameters we report as Local1 correspond to the values ...
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A General Characterization of One Factor Affine Term Structure Models
... FACTOR AFFINE TERM STRUCTURE MODELS DAMIR FILIPOVI ´ C ...of affine term structure mod- els based on a general nonnegative Markov short rate ...
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Modelling International Bond Markets with Affine Term Structure Models
... driving term structures and exchange rates across the US and UK, suggesting that diversification benefits from holding currency-hedged bond portfolios in these markets are likely to be ...
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