کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5099493 1377011 2011 10 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Discrete time Wishart term structure models
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
Discrete time Wishart term structure models
چکیده انگلیسی
This paper reveals that the class of Affine Term Structure Models (ATSMs) introduced by Duffie and Kan (1996) is larger than previously considered in the literature. In the framework of risk factors following a Wishart autoregressive process, we define the Wishart Term Structure Model (WTSM) as an extension of a subclass of Quadratic Term Structure Models (QTSMs), derive simple parameter restrictions that ensure positive bond yields at all maturities, and observe that the usual constraint on affine processes requiring that the volatility matrix be diagonal up to a path independent linear invertible transformation can be considerably relaxed.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 35, Issue 6, June 2011, Pages 815-824
نویسندگان
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