𝔖 Bobbio Scriptorium
✦   LIBER   ✦

A Simple Multi-Factor, Time-Dependent-Parameter Model for the Term Structure of Interest Rates

✍ Scribed by Ren-Raw Chen; T. L. Tyler Yang


Book ID
110340781
Publisher
Springer US
Year
2002
Tongue
English
Weight
95 KB
Volume
19
Category
Article
ISSN
0924-865X

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


A two-mean reverting-factor model of the
✍ Manuel Moreno πŸ“‚ Article πŸ“… 2003 πŸ› John Wiley and Sons 🌐 English βš– 261 KB πŸ‘ 2 views

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

A joint model for the term structure of
✍ Hans Dewachter; Marco Lyrio; Konstantijn Maes πŸ“‚ Article πŸ“… 2006 πŸ› John Wiley and Sons 🌐 English βš– 334 KB πŸ‘ 2 views

## Abstract We present and estimate a continuous time term structure model that incorporates observable macroeconomic variables and latent variables with a clear macroeconomic interpretation. Our model is able to accurately describe the joint dynamics for US macroeconomic variables and the yield cu