Improving the term structure of interest
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Lourdes GΓ³mez-Valle; Julia MartΓnez-RodrΓguez
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Article
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2009
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John Wiley and Sons
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English
β 241 KB
π 2 views
## Abstract We consider a new approach for estimating the coefficients of the term structure equation in twoβfactor models. This approach is based on the fact that the riskβneutral drifts of the factors are directly estimated. Therefore, the market prices of risk and the physical drifts do not have