Affine Term Structure Models
By Monika Piazzesi. 2010
98 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/123d7add8c473e5b104d03e4e0f089e34c8d2737
Citations in the corpus
- Resolution of Policy Uncertainty and Sudden Declines in Volatility (2017, unknown): “The out-of-sample study here is crosssectional, instead of based on time-series forecasting, as is common for models with latent factors, see Piazzesi (2010).”
- Inflation Expectations, Real Rates, and Risk Premia: Evidence from Inflation Swaps (2011, unknown): “A wealth of empirical work surveyed in Dai and Singleton (2003) and Piazzesi (2005) confirm across a variety of data sets the difficulties in matching both first and second moments of yield changes.”
- Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk (2010, unknown): “It is also true of the discrete-time affine term structure models discussed in Ang and Piazzesi (2003) and Gourieroux, Monfort, and Polimenis (2002). of complexity, to the relevant conditional P-densities.4 By shifting to discrete time, we are able to nest the (discrete-time counterparts to the)…”
- Analysis of Multifactor Affine Yield Curve Models (2008, unknown): “Ang and Piazzesi (2003) enhanced its practical value by incorporating macroeconomic variables in the list of factors that drive the dynamics of the model.”
- The consumption-based determinants of the term structure of discount rates (2007, unknown): “This is well summarized by Piazzesi (2004): ”The quest for understanding what moves bond yields has produced an enormous literature with its own journals and graduate courses.”
- A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (2012, unknown): “To show the implications for foreign bonds, note that, as discussed in Backus et al. (2001), with frictionless markets the exchange rate is equal to the difference between the logarithms of the discount factors in the two countries: st+1 − st = m ∗ t+1 −mt+1.”