کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960029 | 929401 | 2007 | 48 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Market price of risk specifications for affine models: Theory and evidence
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
We extend the standard specification of the market price of risk for affine yield models, and apply it to U.S. Treasury data. Our specification often provides better fit, sometimes with very high statistical significance. The improved fit comes from the time-series rather than cross-sectional features of the yield curve. We derive conditions under which our specification does not admit arbitrage opportunities. The extension has extremely strong statistical significance for affine yield models with multiple square-root type variables. Although we focus on affine yield models, our specification can be used with other asset pricing models as well.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 83, Issue 1, January 2007, Pages 123–170
Journal: Journal of Financial Economics - Volume 83, Issue 1, January 2007, Pages 123–170
نویسندگان
Patrick Cheridito, Damir Filipović, Robert L. Kimmel,