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Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Quantitative Finance
◽
10.1080/14697688.2020.1865558
◽
2021
◽
pp. 1-22
Author(s):
Marco Realdon
Keyword(s):
Term Structure
◽
Discrete Time
◽
Affine Term Structure
◽
Affine Term Structure Models
◽
Term Structure Models
Download Full-text
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Cited By
References
Discrete-time affine term structure models: an ARCH formulation
International Journal of Risk Assessment and Management
◽
10.1504/ijram.2009.022203
◽
2009
◽
Vol 11
(1/2)
◽
pp. 164
◽
Cited By ~ 3
Author(s):
Alessandro Carta
◽
Dean Fantazzini
◽
Mario A. Maggi
Keyword(s):
Term Structure
◽
Discrete Time
◽
Affine Term Structure
◽
Affine Term Structure Models
◽
Term Structure Models
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Discrete-time affine term structure models with macroeconomic factors: Applied to German covered bonds
Aestimatio The IEB International Journal of Finance
◽
10.5605/ieb.11.1
◽
2015
◽
pp. 8-45
Author(s):
Xeniya Polikhronidi
◽
Vicente Jakas
Keyword(s):
Term Structure
◽
Discrete Time
◽
Macroeconomic Factors
◽
Affine Term Structure
◽
Affine Term Structure Models
◽
Term Structure Models
Download Full-text
Discrete Time Affine Term Structure Models With Squared Gaussian Shocks (DTATSM-SGS)
SSRN Electronic Journal
◽
10.2139/ssrn.3350750
◽
2018
◽
Author(s):
Marco Realdon
Keyword(s):
Term Structure
◽
Discrete Time
◽
Affine Term Structure
◽
Affine Term Structure Models
◽
Term Structure Models
Download Full-text
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
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
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
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