A term structure model with level factor cannot be realistic and arbitrage free
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KeywordsInterest Rate; Term Structure; Affine Model; No Arbitrage; Level Factor; Slope Factor.;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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