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Design and Estimation of Affine Yield Models

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Author Info
David K. Backus
Chris I. Telmer
Liuren Wu

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File URL: http://bertha.tepper.cmu.edu/files/papers/aff99.ps
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Paper provided by Carnegie Mellon University, Tepper School of Business in its series GSIA Working Papers with number 2000-E17.

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Date of creation: Nov 1999
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Handle: RePEc:cmu:gsiawp:370

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Postal: Tepper School of Business, Carnegie Mellon University, 5000 Forbes Avenue, Pittsburgh, PA 15213-3890
Web page: http://www.tepper.cmu.edu/

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  1. Markus Leippold & Liuren Wu, 2002. "Asset Pricing Under The Quadratic Class," Finance 0207015, EconWPA. [Downloadable!]
    Other versions:
  2. D H Kim, 2004. "Nonlinearity in the Term Structure," The School of Economics Discussion Paper Series 0401, Economics, The University of Manchester. [Downloadable!]
  3. Luca Benati, . "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England. [Downloadable!]
  4. Konstantijn Maes, 2004. "Modeling the Term Structure of Interest Rates: Where Do We Stand?," Research series 200402, National Bank of Belgium. [Downloadable!]
    Other versions:
  5. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April. [Downloadable!] (restricted)
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This page was last updated on 2009-11-24.

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