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Yield curve shapes and the asymptotic short rate distribution in affine one-factor models

Author

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  • Martin Keller-Ressel

    ()

  • Thomas Steiner

    ()

Abstract

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Suggested Citation

  • Martin Keller-Ressel & Thomas Steiner, 2008. "Yield curve shapes and the asymptotic short rate distribution in affine one-factor models," Finance and Stochastics, Springer, vol. 12(2), pages 149-172, April.
  • Handle: RePEc:spr:finsto:v:12:y:2008:i:2:p:149-172
    DOI: 10.1007/s00780-007-0059-z
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    File URL: http://hdl.handle.net/10.1007/s00780-007-0059-z
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    References listed on IDEAS

    as
    1. Damir Filipovic, 2001. "A general characterization of one factor affine term structure models," Finance and Stochastics, Springer, vol. 5(3), pages 389-412.
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    Citations

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    Cited by:

    1. Keller-Ressel, Martin & Mijatović, Aleksandar, 2012. "On the limit distributions of continuous-state branching processes with immigration," Stochastic Processes and their Applications, Elsevier, vol. 122(6), pages 2329-2345.
    2. Martin Keller-Ressel, 2008. "Moment Explosions and Long-Term Behavior of Affine Stochastic Volatility Models," Papers 0802.1823, arXiv.org, revised Oct 2008.
    3. Martin Keller-Ressel & Antonis Papapantoleon & Josef Teichmann, 2009. "The affine LIBOR models," Papers 0904.0555, arXiv.org, revised Jul 2011.
    4. repec:spr:finsto:v:21:y:2017:i:3:d:10.1007_s00780-017-0333-7 is not listed on IDEAS
    5. Maj-Britt Nordfang, 2017. "What Should You Pay to Cap your ARM?—A Note on Capped Adjustable Rate Mortgages," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 5(1), pages 1-10, March.
    6. repec:eee:spapps:v:128:y:2018:i:4:p:1135-1164 is not listed on IDEAS
    7. Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2016. "Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations," Papers 1609.05865, arXiv.org, revised Aug 2017.
    8. Martin Keller-Ressel, 2017. "Erratum to: `Yield curve shapes and the asymptotic short rate distribution in affine one-factor models'," Papers 1711.00737, arXiv.org, revised Feb 2018.

    More about this item

    Keywords

    Affine process; Term structure of interest rates; Ornstein–Uhlenbeck process; Yield curve; 60J25; 91B28; E43; G12;

    JEL classification:

    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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