Time-series and Cross-section Information in Affine Term Structure Models

Time-series and Cross-section Information in Affine Term Structure Models
Author: Frank de Jong
Publisher:
Total Pages: 56
Release: 1999
Genre: Interest rates
ISBN:


Download Time-series and Cross-section Information in Affine Term Structure Models Book in PDF, Epub and Kindle


Time-series and Cross-section Information in Affine Term Structure Models
Language: en
Pages: 56
Authors: Frank de Jong
Categories: Interest rates
Type: BOOK - Published: 1999 - Publisher:

GET EBOOK

Time-series and Cross-section Information in Affine Term Structure Models
Language: en
Pages:
Authors: Franciscus Cornelis Johannes Maria Jong
Categories:
Type: BOOK - Published: 1999 - Publisher:

GET EBOOK

Identification and Estimation of 'Maximal' Affine Term Structure Models
Language: en
Pages: 62
Authors: Pierre Collin-Dufresne
Categories:
Type: BOOK - Published: 2011 - Publisher:

GET EBOOK

We propose a canonical representation for affine term structure models where the state vector is comprised of the first few Taylor-series components of the yiel
An Assessment of Econometric Methods Used in the Estimation of Affine Term Structure Models
Language: en
Pages: 274
Authors: Januj Juneja
Categories:
Type: BOOK - Published: 2010 - Publisher:

GET EBOOK

The first essay empirically evaluates recently developed techniques that have been proposed to improve the estimation of affine term structure models. The evalu
A Principal-Component-Based Affine Term Structure Model
Language: en
Pages: 42
Authors: Riccardo Rebonato
Categories:
Type: BOOK - Published: 2014 - Publisher:

GET EBOOK

We present an essentially affine model with pricipal components as state variables. We show that, once no-arbitrage is imposed, this choice of state variables i