In the wide class of Affine Term Structure Models (ATSM), we concentrate on a quite simple bivariate discrete-time formulation. In this setting, we express the model in AR(1) - ARCH form, and we explore the different features of the four possible specifications. I order to evaluate their performances, we carry out an empirical analysis with short and long term interest rates data.
Specification analysis of bivariate discrete-time affine term structure models
MAGGI, MARIO ALESSANDRO;FANTAZZINI, DEAN;CARTA, ALESSANDRO
2006-01-01
Abstract
In the wide class of Affine Term Structure Models (ATSM), we concentrate on a quite simple bivariate discrete-time formulation. In this setting, we express the model in AR(1) - ARCH form, and we explore the different features of the four possible specifications. I order to evaluate their performances, we carry out an empirical analysis with short and long term interest rates data.File in questo prodotto:
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