Identification of Maximal Affine Term Structure Models
- 1 April 2008
- journal article
- Published by Wiley in The Journal of Finance
- Vol. 63 (2) , 743-795
- https://doi.org/10.1111/j.1540-6261.2008.01331.x
Abstract
No abstract availableKeywords
This publication has 29 references indexed in Scilit:
- The Impact of Collateralization on Swap RatesThe Journal of Finance, 2007
- Wishart Quadratic Term Structure ModelsSSRN Electronic Journal, 2003
- Evaluating an Alternative Risk Preference in Affine Term Structure ModelsThe Review of Financial Studies, 2003
- On estimating the expected return on the market: An exploratory investigationPublished by Elsevier ,2002
- Term Premia and Interest Rate Forecasts in Affine ModelsThe Journal of Finance, 2002
- Estimation of affine asset pricing models using the empirical characteristic functionJournal of Econometrics, 2001
- Specification Analysis of Affine Term Structure ModelsThe Journal of Finance, 2000
- System IdentificationPublished by Wiley ,1999
- Kalman Filtering of Generalized Vasicek Term Structure ModelsJournal of Financial and Quantitative Analysis, 1999
- A Simple Approach to Three-Factor Affine Term Structure ModelsThe Journal of Fixed Income, 1996