Direct estimation of the risk neutral factor dynamics of Gaussian term structure models

DOI10.1016/S0304-4076(03)00122-2zbMath1023.62105OpenAlexW3122872340MaRDI QIDQ1410572

Peter C. Schotman, Dennis Bams

Publication date: 14 October 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00122-2

zbMATH Keywords

term structure of interest ratespanel dataprincipal components analysisaffine modelsrisk neutral valuation

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (4)

Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations ⋮ Direct estimation of the risk neutral factor dynamics of Gaussian term structure models ⋮ BILINEAR TERM STRUCTURE MODEL ⋮ Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs

Cites Work

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• Interest rate dynamics, derivatives pricing, and risk management
• Bayesian analysis of contingent claim model error
• Testing for Common Trends
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• The Dynamics of Short-Term Interest Rate Volatility Reconsidered
• An equilibrium characterization of the term structure

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