Discrete-time affine term structure models: An ARCH formulationстатья
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Дата последнего поиска статьи во внешних источниках: 28 мая 2015 г.
Авторы:
Carta A.,
Fantazzini D. ,
Maggi M.
Журнал:
International Journal of Risk Assessment and Management
Том:
11
Номер:
1-2
Год издания:
2009
Издательство:
Inderscience Enterprises
Местоположение издательства:
United Kingdom
Первая страница:
164
Последняя страница:
179
DOI:
10.1504/IJRAM.2009.022203
Аннотация:
Discrete-time affine term structure models can be expressed in AR(1)-ARCH form but it is not possible to get a non-negative variance equation only by restricting the parameters. In this paper, we use distribution assumption in order to assure the variance to be non-negative. We present a complete formulation for one-factor and multi-factor models with inverse Gaussian conditional innovations distribution. Moreover, we derive the log-likelihood functions and implement a two-factor empirical specification analysis, both with simulated and US interest rate data. We compare the estimation and forecasting results with a AR(1)-GARCH(1,1) model. Copyright В© 2009 Inderscience Enterprises Ltd.
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