Specification Analysis of Affine Term Structure Models  

Oleh:

Singleton, Kenneth J. ; Qiang, Dai

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 5 (2000), page 1943-1978.
Topik: Structure models; studies; mathematical models; interest rate; history; yield; volatility
Fulltext: p 1943.pdf (286.89KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.3 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper explores the structural differences and relative goodness - of - fits of affine term structure models (ATSMs). Within the family of ATSNs there is a trade - off between flexibility in modeling the conditional correlations and volatilities of the risk factors. This trade - off is fromalized by our classification of N - factor affine family into N + 1 non - nested subfamilies of models. Specializing to three - factor ATSMs, our analysis suggests, based on theoretical considerations and empirical evidence, that some subfamilies of ASTMs are better suited than others to explaining historical interest rate behaviour.

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