Discrete-Time Dynamic Term Structure Models with Generalized Market Prices of Risk

107 citations recorded by the source corpus.

Subfields: Finance

How researchers see this paper

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

Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility (2014, unknown): “Le et al. (2010) extended the process to allow for multiple factors; their specification under Q is (2)–(4) but with µ h = 0 and Σ h diagonal.”
Density Approximations for Multivariate Affine Jump-Diffusion Processes (2011, unknown): “4In discrete-time, Le et al. (2010) show how Q-affine models may be constructed to exhibit non-affine dynamics under P. econometric inference for financial models, because in applications one typically needs to evaluate, both, the transition densities themselves, as well as integrals of payoff…”
Risk Premiums in Dynamic Term Structure Models with Unspanned Macro Risks (2013, unknown): “Two exceptions are the reduced-form equity and bond pricing models studied by Lettau and Wachter (2011) and Koijen, Lustig, and van Nieuwerburgh (2012).”
Generalized Transform Analysis of Affine Processes and Applications in Finance (2012, unknown): “In general, the discrete-time family of processes given by (A12– A13) is quite flexible and allows for jump-type processes and time-varying covariance (see, e.g., Le, Singleton, and Dai 2010).”
Forecasting with the term structure: The role of no-arbitrage restrictions (2011, methodology): “Discrete-time models include the Gaussian class ﬁrst explored by Backus and Zin (1994) and a non-Gaussian class characterized by Le, Singleton, and Dai (2010).”