๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

A Semiparametric Factor Model of Interest Rates and Tests of the Affine Term Structure

โœ Scribed by Eric Ghysels and Serena Ng

Book ID
125768802
Publisher
MIT Press
Year
1998
Tongue
English
Weight
535 KB
Volume
80
Category
Article
ISSN
0034-6535

No coin nor oath required. For personal study only.

๐Ÿ“œ SIMILAR VOLUMES

A two-mean reverting-factor model of the
A two-mean reverting-factor model of the term structure of interest rates
โœ Manuel Moreno ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 261 KB ๐Ÿ‘ 2 views

## Abstract This article presents a twoโ€factor model of the term structure of interest rates. It is assumed that defaultโ€free discount bond prices are determined by the time to maturity and two factors, the longโ€term interest rate, and the spread (i.e., the difference) between the shortโ€term (insta

Improving the term structure of interest
Improving the term structure of interest rates: two-factor models
โœ Lourdes Gรณmez-Valle; Julia Martรญnez-Rodrรญguez ๐Ÿ“‚ Article ๐Ÿ“… 2009 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 241 KB ๐Ÿ‘ 2 views

## Abstract We consider a new approach for estimating the coefficients of the term structure equation in twoโ€factor models. This approach is based on the fact that the riskโ€neutral drifts of the factors are directly estimated. Therefore, the market prices of risk and the physical drifts do not have