搜索结果: 1-3 共查到“应用经济学 Term Structure”相关记录3条 . 查询时间(0.176 秒)
Market Price of Risk and Random Field Driven Models of Term Structure: A Space-Time Change of Measure Look
Market Price Risk Random Field Driven Models Term Structure
2010/10/20
No-arbitrage models of term structure have the feature that the return on zero-coupon bonds is the sum of the short rate and the product of volatility and market price of risk. Well known models rest...
Term Structure Forecasting: No-arbitrage Restrictions Versus Large Information set
Yield curve terms tructure of interest rates forecasting large data set factor models
2011/4/1
This paper addresses the issue of forecasting the term structure.We provide a unified state-space modeling framework that encompasses different existing discrete-time yield curve models.
Estimating affine multifactor term structure models using closed-form likelihood expansions
Term structure Multifactor Interest rates Affine Closed-form maximum-likelihood
2014/3/13
We develop and implement a technique for closed-form maximum likelihood estimation (MLE) of multifactor affine yield models. We derive closed-form approximations to likelihoods for nineDai and Singlet...