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A Classification of Two-Factor Affine Diffusion Term Structure Models

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  • Christian Gourieroux
  • Razvan Sufana

Abstract

Dai and Singleton (2000) introduced a typology of affine diffusion models when the domain of admissible values of the factors is an intersection of half planes and under some additional constraints on the parameters. This condition on the domain and the additional sufficient constraints are restrictive and can considerably diminish the practical interest of affine models. In this article we successfully address the research agenda sketched by Duffie, Filipovic, Schachermayer (2003, section 12.2, p. 1042). A systematic investigation is performed and our article provides a complete typology in the two-factor case, without prior restrictions on the domain and on the parameters. Copyright 2006, Oxford University Press.

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File URL: http://hdl.handle.net/10.1093/jjfinec/nbj003
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Bibliographic Info

Article provided by Society for Financial Econometrics in its journal Journal of Financial Econometrics.

Volume (Year): 4 (2006)
Issue (Month): 1 ()
Pages: 31-52

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Handle: RePEc:oup:jfinec:v:4:y:2006:i:1:p:31-52

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Cited by:
  1. Monfort, A. & Pegoraro, F., 2007. "Switching VARMA Term Structure Models - Extended Version," Working papers 191, Banque de France.
  2. Cheridito, Patrick & Filipovic, Damir & Kimmel, Robert L., 2006. "Affine Term Structure Models," Working Paper Series 2007-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  3. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
  4. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.

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