Affine Principal Component Based Term Structure Model
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Affine Principal-Component-Based Term Structure Model
Author | : Ivan Saroka |
Publisher | : |
Total Pages | : 50 |
Release | : 2014 |
Genre | : |
ISBN | : |
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We present an affine multifactor Gaussian term structure model, where we let factors be principal components of yields. Taking forward the affine-yield idea presented in Duffie and Kan (1996) we derive general expressions for the coefficients of a multidimensional affine Gaussian stochastic process given an exogenous matrix of loadings of selected yields on the state variables.
Affine Principal-Component-Based Term Structure Model Related Books
Language: en
Pages: 50
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We present an affine multifactor Gaussian term structure model, where we let factors be principal components of yields. Taking forward the affine-yield idea pre
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In my dissertation, I focus on theoretical affine term structure models and the development of Bayesian econometric methods to estimate them.In the first Chapte