Comparing Multifactor Models of the Term Structure

By Michael W. Brandt, David A. Chapman. 2002

59 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6082d82c36875c0838571ce67b14f0205589cff1

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Citations in the corpus

A consumption-based model of the term structure of interest rates ☆ (2006, methodology): “15However, using the generalized method of moments approach employed by Gibbons and Ramaswamy (1993), Brandt and Chapman (2002) show that when the parameters of the models with stochastic volatility are chosen so that the model fits the expectations hypothesis regressions, the models come closer to…”
Monetary Policy Shifts and the Term Structure (2011, background): “Ahn, Dittmar and Gallant (2002) and Brandt and Chapman (2003) demonstrate that quadratic models have several advantages over the affine class in adding more flexibility to better match yield dynamics, particularly conditional moments.”
Taylor Rules, McCallum Rules and the Term Structure of Interest Rates (2005, unknown): “We will work with a discrete-time version of the model of Duffee (2002) (see also, Brandt and Chapman, 2003; Ang and Piazzesi, 2003; Dai and Philippon, 2004).”
Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors (2005, unknown): “Ahn, Dittmar, and Gallant (2002) discuss an affine-quadratic class of models which, as Brandt and Chapman (2002) show, is also capable of accounting for the failure of the expectations hypothesis.”
Do Bonds Span Volatility Risk in the U.S. Treasury Market? A Specification test for Affine Term Structure Models (2010, unknown): “This 20Ahn et al. (2002, 2003) and Brandt and Chapman (2002) argue that three-factor quadratic-Gaussian models provide a better fit to interest rate volatility than previously considered specifications in the affine class (including the ‘essentially affine’ model of Duffee (2002)).”
No-Arbitrage Taylor Rules (2007, unknown): “…affine prices of risk specification in equation (4) has been used by, among others, Constantinides (1992), Fisher (1998), Dai and Singleton (2002), Brandt and Chapman (2003), and Duffee (2002) in continuous time and by Ang and Piazzesi (2003), Ang, Piazzesi and Wei (2004), and Dai and Philippon…”