Time Series and Cross-section Information in Affine Term-Structure Models
Time Series and Cross-section Information in Affine Term-Structure Models
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仿射项结构模型中的时间序列和截面信息
DOI：
10.1080/07350015.2000.10524872
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发表时间：
2000
影响因子：
3
通讯作者：
F. Jong
中科院分区：
文献类型：
--
作者：
F. Jong
在本文中，我使用 Duffie 和 Kan 引入的仿射类期限结构模型对利率期限结构进行了实证分析。我通过以理论上一致的方式结合时间序列和横截面信息来估计这些模型。在估计中，我使用基于连续时间因子过程的离散化的卡尔曼滤波器，并考虑到一般的测量误差结构。我提供的证据表明，具有相关因素的三因素仿射模型能够提供横截面和期限结构动态的充分拟合。这三个因素可以用通常的水平、陡度和曲率来解释。
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.