Identification of maximal affine term structure models

• 成果类型: Article
• 署名作者: Collin-Dufresne, Pierre; Goldstein, Robert S.; Jones, Christopher S.
• 署名单位: University of California System; University of California Berkeley; University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research; University of Southern California
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01331.x
• 发表日期: 2008
• 页码: 743-795
• 关键词: risk premia; SWAP; options

摘要

Building on Duffie and Kan (1996), we propose a new representation of affine models in which the state vector comprises infinitesimal maturity yields and their quadratic covariations. Because these variables possess unambiguous economic interpretations, they generate a representation that is globally identifiable. Further, this representation has more identifiable parameters than the maximal model of Dai and Singleton (2000). We implement this new representation for select three-factor models and find that model-independent estimates for the state vector can be estimated directly from yield curve data, which present advantages for the estimation and interpretation of multifactor models.