Time Series and Cross-Section Information in Affine Term-Structure Models
F. de Jong. Journal of Business & Economic Statistics, 18 (3):
300--314(2000)
Abstract
In this article I provide an empirical analysis of the term structure of interest rates using the affine class of term-structure models introduced by Duffie and Kan. I estimate these models by combining time series and cross-section information in a theoretically consistent way. In the estimation I use a Kalman filter based on a discretization of the continuous-time factor process and allow for a general measurement-error structure. I provide evidence that a three-factor affine model with correlated factors is able to provide an adequate fit of the cross-section and the dynamics of the term structure. The three factors can be given the usual interpretation of level, steepness, and curvature.
%0 Journal Article
%1 citeulike:1379244
%A de Jong, Frank
%D 2000
%J Journal of Business & Economic Statistics
%K finmath interest-rate-model time-series
%N 3
%P 300--314
%T Time Series and Cross-Section Information in Affine Term-Structure Models
%U http://www.jstor.org/stable/1392263
%V 18
%X In this article I provide an empirical analysis of the term structure of interest rates using the affine class of term-structure models introduced by Duffie and Kan. I estimate these models by combining time series and cross-section information in a theoretically consistent way. In the estimation I use a Kalman filter based on a discretization of the continuous-time factor process and allow for a general measurement-error structure. I provide evidence that a three-factor affine model with correlated factors is able to provide an adequate fit of the cross-section and the dynamics of the term structure. The three factors can be given the usual interpretation of level, steepness, and curvature.
@article{citeulike:1379244,
abstract = {{In this article I provide an empirical analysis of the term structure of interest rates using the affine class of term-structure models introduced by Duffie and Kan. I estimate these models by combining time series and cross-section information in a theoretically consistent way. In the estimation I use a Kalman filter based on a discretization of the continuous-time factor process and allow for a general measurement-error structure. I provide evidence that a three-factor affine model with correlated factors is able to provide an adequate fit of the cross-section and the dynamics of the term structure. The three factors can be given the usual interpretation of level, steepness, and curvature.}},
added-at = {2019-06-18T20:47:03.000+0200},
author = {de Jong, Frank},
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journal = {Journal of Business \& Economic Statistics},
keywords = {finmath interest-rate-model time-series},
number = 3,
pages = {300--314},
posted-at = {2007-06-11 20:59:40},
priority = {2},
timestamp = {2019-08-24T00:28:57.000+0200},
title = {{Time Series and Cross-Section Information in Affine Term-Structure Models}},
url = {http://www.jstor.org/stable/1392263},
volume = 18,
year = 2000
}