Beyond Single-Factor Affine Term Structure Models
نویسندگان
چکیده
منابع مشابه
Beyond Single-Factor Affine Term Structure Models
This paper proposes a new approach to testing for the hypothesis of a single priced risk factor driving the term structure of interest rates. The method does not rely on any parametric specification of the state variable dynamics or the market price of risk. It simply exploits the constraint imposed by the no arbitrage condition on instantaneous expected bond returns. In order to achieve our go...
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ژورنال
عنوان ژورنال: Journal of Financial Econometrics
سال: 2004
ISSN: 1479-8409,1479-8417
DOI: 10.1093/jjfinec/nbh022