scholarly journals Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification Test for Affine Term Structure Models

2008 ◽  
Author(s):  
Torben G. Andersen ◽  
Luca Benzoni
Keyword(s):  
Term Structure ◽  
Specification Test ◽  
Volatility Risk ◽  
Affine Term Structure ◽  
Affine Term Structure Models ◽  
Term Structure Models ◽  
Treasury Market ◽  
The U.S

An International Examination of Affine Term Structure Models and the Expectations Hypothesis

2007 ◽  
Vol 42 (1) ◽  
pp. 41-80 ◽  
Author(s):  
Huarong Tang ◽  
Yihong Xia
Keyword(s):  
Term Structure ◽  
Yield Curve ◽  
Expectations Hypothesis ◽  
Affine Term Structure ◽  
Forward Rates ◽  
Affine Term Structure Models ◽  
Term Structure Models ◽  
Affine Model ◽  
The U.S ◽  
Three Factor

AbstractWe examine the yield curve behavior and the relative performance of affine term structure models (ATSMs) using government bond yield data from Canada, Germany, Japan, the U.K., and the U.S. We find strong predictability of forward rates for excess bond returns and reject the expectations hypothesis in all five countries. A three-factor model is sufficient to capture movements in the yield curve of Canada, Japan, the U.K., and the U.S., but may not be enough for Germany. An exhaustive comparison among ATSMs with no more than three factors reveals that the three-factor essential affine model (A1(3)E), with only one factor affecting the volatility of the short rate but with all three factors affecting the price of risk, performs best in all five countries. Simulations provide inconclusive evidence on whether this best affine model can successfully generate the rich yield curve behavior observed in the data.

Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations

2014 ◽  
Vol 21 (6) ◽  
pp. 523-554 ◽  
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
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