Specification Analysis of Affine Term Structure Models

Journal of Finance - Tập 55 Số 5 - Trang 1943-1978 - 2000
Qiang Dai, Kenneth J. Singleton

Tóm tắt

This paper explores the structural differences and relative goodness‐of‐fits of affine term structure models (ATSMs). Within the family of ATSMs there is a trade‐off between flexibility in modeling the conditional correlations and volatilities of the risk factors. This trade‐off is formalized by our classification of N‐factor affine family into non‐nested subfamilies of models. Specializing to three‐factor ATSMs, our analysis suggests, based on theoretical considerations and empirical evidence, that some subfamilies of ATSMs are better suited than others to explaining historical interest rate behavior.

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Thông tin xuất bản

Journal of Finance

Tập 55 Số 5

1943-1978

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