Identification of Maximal Affine Term Structure Models
By Pierre Collin-Dufresne, Robert S. Goldstein, Christopher S. Jones. 2008
112 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/1f2f4752bad9cdb8e10b4d7745d38ffb78f0c10a
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Anh Le
- J. Wu
- Kenneth J. Singleton
- Qiang Dai
- Christian Wagner
- Paul Schneider
- Lucio Sarno
- Drew D. Creal
In Finance
- J. Wu
- Anh Le
- Drew D. Creal
- Kenneth J. Singleton
- Qiang Dai
- Paul Schneider
- Christian Wagner
- Lucio Sarno
Citations in the corpus
- Quadratic Variance Swap Models (2016, unknown): “9 See, e.g., Duffie and Kan (1996), Dai and Singleton (2000), Duffie, Pan, and Singleton (2000), Duffie, Filipović, and Schachermayer (2003), and Collin-Dufresne, Goldstein, and Jones (2008).”
- Affine Diffusion Processes: Theory and Applications (2009, unknown): “This topic has been addressed in [10, 9, 24, 8], see also the Notes section.”
- Discrete-Time Affineℚ Term Structure Models with Generalized Market Prices of Risk (2010, background): “12 For continuous-time formulations, Collin-Dufresne, Goldstein, and Jones (2008) and Joslin (2007) show that, when N ≥ 4 and 2 ≤ M ≤ N − 2, then this formulation of the conditional variance is not the maximal canonical AQM (N ) model.”
- A New Perspective on Gaussian Dynamic Term Structure Models (2011, unknown): “To our knowledge the only other normalization that has an “observable” state vector is the one explored by Collin-Dufresne, Goldstein, and Jones (2008) (CGJ).”
- Density Approximations for Multivariate Affine Jump-Diffusion Processes (2011, unknown): “Among their best-known proponents are Vasicek’s interest rate model (Vasicek, 1977), the square-root model Cox et al. (1985), Heston’s model (cf. Heston, 1993), and affine term structure models (Duffie and Kan, 1996; Dai and Singleton, 2000; Collin-Dufresne et al., 2008).”
- Properties of Foreign Exchange Risk Premiums (2012, methodology): “Explanations that build on risk premium arguments - based, among others, on equilibrium models or consumption-based asset pricing include Frankel and Engel (1984), Domowitz and Hakkio (1985), Hodrick (1987), Cumby (1988), Mark (1988), Backus et al.”
- Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility (2014, methodology): “…the 11This model has been widely considered as the benchmark non-Gaussian ATSM, see Dai and Singleton(2000), Cheridito, Filipovic, and Kimmel(2007), Collin-Dufresne, Goldstein, and Jones(2008), and Aı̈t- concentrated likelihood drops the number of parameters by one-third from 24 parameters to 16…”