An Admissible Affine Model for Joint Term Structure Dynamics of Interest Rates
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- repec:eee:jimfin:v:74:y:2017:i:c:p:88-114 is not listed on IDEAS
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More about this item
Keywordsforward premium anomaly; affine joint term structure model; kalman filter;
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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