Long Memory Affine Term Structure Models
Title | Long Memory Affine Term Structure Models PDF eBook |
Author | Adam Golinski |
Publisher | |
Pages | 61 |
Release | 2017 |
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We develop a Gaussian discrete time essentially affine term structure model with long memory state variables. This feature reconciles the strong persistence observed in nominal yields and inflation with the theoretical implications of affine models, especially for long maturities. We characterise in closed-form the dynamic and cross-sectional implications of long memory for our model. We explain how long memory can naturally arise within the term structure of interest rates, providing a theoretical underpinning for our model. Despite the infinite-dimensional structure that long memory implies, we show how to cast the model in state space and estimate it by maximum likelihood. An empirical application of our model is presented.
Interest Rates with Long Memory
Title | Interest Rates with Long Memory PDF eBook |
Author | Daniela Osterrieder |
Publisher | |
Pages | |
Release | 2013 |
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Affine Term Structure Models
Title | Affine Term Structure Models PDF eBook |
Author | Christian Gouriéroux |
Publisher | |
Pages | 66 |
Release | 2002 |
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ISBN |
Infinite Dimensional Affine Term Structure Models Under Incomplete Information
Title | Infinite Dimensional Affine Term Structure Models Under Incomplete Information PDF eBook |
Author | |
Publisher | |
Pages | |
Release | 2017 |
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Continuous-time Identification of Exponential-affine Term Structure Models
Title | Continuous-time Identification of Exponential-affine Term Structure Models PDF eBook |
Author | Arianto Wibowo |
Publisher | |
Pages | 79 |
Release | 2006 |
Genre | |
ISBN | 9789036524421 |
Identification of Maximal Affine Term Structure Models
Title | Identification of Maximal Affine Term Structure Models PDF eBook |
Author | Pierre Collin-Dufresne |
Publisher | |
Pages | 53 |
Release | 2011 |
Genre | |
ISBN |
Building on the approach of Duffie and Kan (1996) who use finite maturity yields as the state vector, we propose a new representation of affine models in which the state vector is composed of infinitesimal maturity yields and their quadratic covariations. Because these variables possess unambiguous economic interpretations, they generate a representation that is globally identifiable. Further, this representation is more flexible than the maximal model of Dai and Singleton (2000) in that there are more identifiable parameters. We implement this new representation for two different three-factor models. The fact that our state vector can be estimated model-independently from yield curve data presents advantages for the estimation and interpretation of multi-factor models.
Yield Curve Modeling and Forecasting
Title | Yield Curve Modeling and Forecasting PDF eBook |
Author | Francis X. Diebold |
Publisher | Princeton University Press |
Pages | 225 |
Release | 2013-01-15 |
Genre | Business & Economics |
ISBN | 1400845416 |
Understanding the dynamic evolution of the yield curve is critical to many financial tasks, including pricing financial assets and their derivatives, managing financial risk, allocating portfolios, structuring fiscal debt, conducting monetary policy, and valuing capital goods. Unfortunately, most yield curve models tend to be theoretically rigorous but empirically disappointing, or empirically successful but theoretically lacking. In this book, Francis Diebold and Glenn Rudebusch propose two extensions of the classic yield curve model of Nelson and Siegel that are both theoretically rigorous and empirically successful. The first extension is the dynamic Nelson-Siegel model (DNS), while the second takes this dynamic version and makes it arbitrage-free (AFNS). Diebold and Rudebusch show how these two models are just slightly different implementations of a single unified approach to dynamic yield curve modeling and forecasting. They emphasize both descriptive and efficient-markets aspects, they pay special attention to the links between the yield curve and macroeconomic fundamentals, and they show why DNS and AFNS are likely to remain of lasting appeal even as alternative arbitrage-free models are developed. Based on the Econometric and Tinbergen Institutes Lectures, Yield Curve Modeling and Forecasting contains essential tools with enhanced utility for academics, central banks, governments, and industry.