Testable Implications of Affine Term Structure Models

By James D. Hamilton, J. Wu. 2011

68 citations recorded by the source corpus.

Subfields: Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/23092e538264caf0be76848a408f44660aca9444

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. J. Wu
2. Drew D. Creal
3. S. J. Koopman
4. André Lucas

In Statistics and Probability

1. Drew D. Creal
2. J. Wu

Citations in the corpus

• Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility (2014, background): “9 Papers that document the potential existence of USV factors include Heidari and Wu (2003), Li and Zhao (2006), Trolle and Schwartz (2009), and Andersen and Benzoni (2010).”
• Decomposing real and nominal yield curves (2016, unknown): “autocorrelation across a wide range of model specifications and estimation methods (see Hamilton and Wu (2011) and Adrian, Crump, and Moench (2013)).”