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Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations
Applied Mathematical Finance
◽
10.1080/1350486x.2014.896510
◽
2014
◽
Vol 21
(6)
◽
pp. 523-554
◽
Cited By ~ 3
Author(s):
Ting Ting Huang
◽
Bruce Qiang Sun
◽
Xinfu Chen
Keyword(s):
Term Structure
◽
Affine Term Structure
◽
Affine Term Structure Models
◽
Term Structure Models
◽
Empirical Investigations
Download Full-text
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Cited By
References
An Empirical Evaluation of the Estimation of Affine Term Structure Models: How Invariant Affine Transformations and Rotations Lead to Improved Empirical Performance
SSRN Electronic Journal
◽
10.2139/ssrn.1361050
◽
2009
◽
Author(s):
Januj Juneja
Keyword(s):
Term Structure
◽
Empirical Evaluation
◽
Affine Transformations
◽
Affine Term Structure
◽
Affine Term Structure Models
◽
Term Structure Models
◽
Empirical Performance
Download Full-text
Diagnosing Multivariate Continuous-Time Models with Application to Affine Term Structure Models
SSRN Electronic Journal
◽
10.2139/ssrn.858724
◽
2005
◽
Cited By ~ 2
Author(s):
Bin Chen
◽
Yongmiao Hong
Keyword(s):
Term Structure
◽
Continuous Time
◽
Affine Term Structure
◽
Affine Term Structure Models
◽
Term Structure Models
◽
Continuous Time Models
Download Full-text
How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?
Computational Management Science
◽
10.1007/s10287-020-00380-7
◽
2020
◽
Author(s):
Januj Amar Juneja
Keyword(s):
Term Structure
◽
Kalman Filtering
◽
Continuous Time
◽
Affine Term Structure
◽
Filtering Algorithm
◽
Affine Term Structure Models
◽
Term Structure Models
◽
Kalman Filtering Algorithm
Download Full-text
Identification and Estimation of 'Maximal' Affine Term Structure Models: An Application to Stochastic Volatility
SSRN Electronic Journal
◽
10.2139/ssrn.410420
◽
2003
◽
Cited By ~ 11
Author(s):
Pierre Collin-Dufresne
◽
Robert S. Goldstein
◽
Christopher S. Jones
Keyword(s):
Stochastic Volatility
◽
Term Structure
◽
Affine Term Structure
◽
Affine Term Structure Models
◽
Term Structure Models
Download Full-text
Consistency Conditions for Affine Term Structure Models II. Option Pricing Under Diffusions with Embedded Jumps
SSRN Electronic Journal
◽
10.2139/ssrn.627622
◽
2004
◽
Cited By ~ 3
Author(s):
Sergei Z. Levendorskii
Keyword(s):
Option Pricing
◽
Term Structure
◽
Affine Term Structure
◽
Consistency Conditions
◽
Affine Term Structure Models
◽
Term Structure Models
Download Full-text
Conditional Volatility in Affine Term Structure Models: Evidence from Treasury and Swap Markets
SSRN Electronic Journal
◽
10.2139/ssrn.1127985
◽
2008
◽
Cited By ~ 3
Author(s):
Kris Jacobs
◽
Lotfi Karoui
Keyword(s):
Term Structure
◽
Conditional Volatility
◽
Affine Term Structure
◽
Affine Term Structure Models
◽
Term Structure Models
Download Full-text
Nonlinear Kalman Filtering in Affine Term Structure Models
Management Science
◽
10.1287/mnsc.2013.1870
◽
2014
◽
Vol 60
(9)
◽
pp. 2248-2268
◽
Cited By ~ 40
Author(s):
Peter Christoffersen
◽
Christian Dorion
◽
Kris Jacobs
◽
Lotfi Karoui
Keyword(s):
Term Structure
◽
Kalman Filtering
◽
Affine Term Structure
◽
Affine Term Structure Models
◽
Term Structure Models
◽
Nonlinear Kalman Filtering
Download Full-text
Affine Term Structure Models
Interest Rate Modeling
◽
10.1201/b15841-13
◽
2009
◽
pp. 307-338
Keyword(s):
Term Structure
◽
Affine Term Structure
◽
Affine Term Structure Models
◽
Term Structure Models
Download Full-text
GMM estimation of affine term structure models
Econometrics and Statistics
◽
10.1016/j.ecosta.2019.10.001
◽
2020
◽
Vol 13
◽
pp. 2-15
◽
Cited By ~ 1
Author(s):
Jaroslava Hlouskova
◽
Leopold Sögner
Keyword(s):
Term Structure
◽
Gmm Estimation
◽
Affine Term Structure
◽
Affine Term Structure Models
◽
Term Structure Models
Download Full-text
Testable Implications of Affine Term Structure Models
SSRN Electronic Journal
◽
10.2139/ssrn.1838573
◽
2011
◽
Author(s):
James D. Hamilton
◽
Jing Cynthia Wu
Keyword(s):
Term Structure
◽
Affine Term Structure
◽
Affine Term Structure Models
◽
Term Structure Models
Download Full-text
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