%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}, biburl = {https://www.bibsonomy.org/bibtex/2f862af3c03e6a79460b97b5290ef24f7/alexv}, citeulike-article-id = {1379244}, citeulike-attachment-1 = {de_jong_00_time_24318.pdf; /pdf/user/alexv/article/1379244/24318/de_jong_00_time_24318.pdf; 0ec8c85969153586ca914a6b323a8af2ab9c2457}, citeulike-linkout-0 = {http://www.jstor.org/stable/1392263}, file = {de_jong_00_time_24318.pdf}, interhash = {e9bab4b8706f02492b495489215e7fa5}, intrahash = {f862af3c03e6a79460b97b5290ef24f7}, 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 }