Specification Analysis Of Affine Term Structure Models PDF Download
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Author | : Qiang Dai |
Publisher | : |
Total Pages | : 51 |
Release | : 1997 |
Genre | : Geometry, Affine |
ISBN | : |
Download Specification Analysis of Affine Term Structure Models Book in PDF, ePub and Kindle
This paper characterizes, interprets, and tests the over-identifying restrictions imposed in affine models of the term" structure. Letting r(t) = ë Y(t), where Y is an unobserved vector affine process, our analysis proceeds in three steps. First, we show that affine models can be categorized according to the different over-identifying restrictions they impose on (i) ë, and (ii) the parameters of the diffusion matrices. Second, this formulation is shown to be equivalent to a model in which there is a terraced drift structure with one of the state variables being the stochastic long-run mean of r. This equivalence allows direct comparisons of the substantive restrictions on the dynamics of interest rates imposed in CIR-style models and models in which the state variables are the stochastic long-run mean and volatility of r. Third, we compute simulated method of moments estimates of a three-factor affine term structure model, and test the over-identifying restrictions on the joint distribution of long- and short-term interest rates implied by extant affine models of r. We find allowing for correlated factors is key to simultaneously describing the short and long ends of the yield curve. This finding is interpreted in terms of the properties of the risk factors underlying term structure movements
Author | : Dennis Bams |
Publisher | : |
Total Pages | : 54 |
Release | : 1998 |
Genre | : Affine algebraic groups |
ISBN | : |
Download Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models Book in PDF, ePub and Kindle
Author | : Christian Gouriéroux |
Publisher | : |
Total Pages | : 66 |
Release | : 2002 |
Genre | : |
ISBN | : |
Download Affine Term Structure Models Book in PDF, ePub and Kindle
Author | : Jens Henrik Eggert Christensen |
Publisher | : |
Total Pages | : 38 |
Release | : 2010 |
Genre | : |
ISBN | : |
Download The Affine Arbitrage-Free Class of Book in PDF, ePub and Kindle
We derive the class of arbitrage-free affine dynamic term structure models that approximate the widely-used Nelson-Siegel yield-curve specification. Our theoretical analysis relates this new class of models to the canonical representation of the three-factor arbitrage-free affine model. Our empirical analysis shows that imposing the Nelson-Siegel structure on this canonical representation greatly improves its empirical tractability; furthermore, we find that improvements in predictive performance are achieved from the imposition of absence of arbitrage.
Author | : International Monetary Fund |
Publisher | : International Monetary Fund |
Total Pages | : 64 |
Release | : 2010-11-01 |
Genre | : Business & Economics |
ISBN | : 1455209589 |
Download On the Estimation of Term Structure Models and An Application to the United States Book in PDF, ePub and Kindle
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the Nelson-Siegel Model and Affine Term- Structure Model, this paper estimates the terms structure of Treasury bond yields for the United States with pre-crisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure.
Author | : Damir Filipovic |
Publisher | : Springer Science & Business Media |
Total Pages | : 259 |
Release | : 2009-07-28 |
Genre | : Mathematics |
ISBN | : 3540680152 |
Download Term-Structure Models Book in PDF, ePub and Kindle
Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
Author | : Anders Brandt Wulff-Andersen |
Publisher | : |
Total Pages | : 100 |
Release | : 2000 |
Genre | : |
ISBN | : |
Download Affine Term Structure Models: Theory, Characterization, and Estimation Book in PDF, ePub and Kindle
Author | : Qian Wang |
Publisher | : |
Total Pages | : 147 |
Release | : 2015 |
Genre | : |
ISBN | : |
Download Two Essays on Estimation and Inference of Affine Term Structure Models Book in PDF, ePub and Kindle
Affine term structure models (ATSMs) are one set of popular models for yield curve modeling. Given that the models forecast yields based on the speed of mean reversion, under what circumstances can we distinguish one ATSM from another? The objective of my dissertation is to quantify the benefit of knowing the “true” model as well as the cost of being wrong when choosing between ATSMs. In particular, I detail the power of out-of-sample forecasts to statistically distinguish one ATSM from another given that we only know the data are generated from an ATSM and are observed without errors. My study analyzes the power and size of affine term structure models (ATSMs) by evaluating their relative out-of-sample performance. Essay one focuses on the study of the one-factor ATSMs. I find that the model’s predictive ability is closely related to the bias of mean reversion estimates no matter what the true model is. The smaller the bias of the estimate of the mean reversion speed, the better the out-of-sample forecasts. In addition, my finding shows that the models' forecasting accuracy can be improved, in contrast, the power to distinguish between. different ATSMs will be reduced if the data are simulated from a high mean reversion process with a large sample size and with a high sampling frequency. In the second essay, I extend the question of interest to the multi-factor ATSMs. My finding shows that adding more factors in the ATSMs does not improve models' predictive ability. But it increases the models' power to distinguish between each other. The multi-factor ATSMs with larger sample size and longer time span will have more predictive ability and stronger power to differentiate between models.
Author | : Ting Ting Huang |
Publisher | : Cambridge Scholars Publishing |
Total Pages | : 89 |
Release | : 2009-10-02 |
Genre | : Business & Economics |
ISBN | : 1443815829 |
Download Theoretical and Empirical Analysis of Common Factors in a Term Structure Model Book in PDF, ePub and Kindle
This paper is the first that completely studies dynamical and cross-sectional structures of bonds, typically used as risk-free assets in mathematical finance, on the independence of the common factors with the empirical copula. During the last decade, financial models based empirically on common factors have acquired increasing popularity in risk management and asset pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for non-specialists to understand, and the mathematical tools required for applications can be intimidating. Although many of the copula models used in finance are theoretical, the nature of financial data suggests the empirical copula is more appropriate for forecasting and accurately describing returns, volatility and interdependence.
Author | : Jan Aarre Midtgaard |
Publisher | : |
Total Pages | : 101 |
Release | : 2004 |
Genre | : |
ISBN | : |
Download Affine Term Structure Models Book in PDF, ePub and Kindle