Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models

SSRN Electronic Journal
doi 10.2139/ssrn.137578
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Elsevier BV

Related search

Identification and Estimation of Gaussian Affine Term Structure Models

SSRN Electronic Journal
2010English

Identification and Estimation of Gaussian Affine Term Structure Models With Regime Switching

Journal of Mathematical Finance
2014English

Expectation Puzzles, Time-Varying Risk Premia, and Affine Models of the Term Structure

Journal of Financial Economics
ManagementFinanceEconomicsStrategyAccountingEconometrics
2002English

Valuation of Guaranteed Annuity Options in Affine Term Structure Models

SSRN Electronic Journal
2005English

Change-Points in Affine Arbitrage-Free Term Structure Models

Journal of Financial Econometrics
EconomicsEconometricsFinance
2012English

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

Journal of Finance
AccountingEconomicsEconometricsFinance
2010English

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

2007English

Robust Estimation of Risk‐neutral Moments

Journal of Futures Markets
ManagementFinanceBusinessEconomicsAccountingEconometrics
2019English

Analysis of Multi-Factor Affine Yield Curve Models

SSRN Electronic Journal
2008English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2026 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy