Evaluating an Alternative Risk Preference in Affine Term Structure Models

By J. Duarte. 2004

169 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/7f17a9516b96c4062c9a82f9b098d207c0f22d7a

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

1. Kenneth J. Singleton
2. Qiang Dai
3. Don H. Kim
4. Athanasios Orphanides
5. Anh Le
6. Andrea Buraschi
7. Alexei Jiltsov
8. G. Duffee

In Finance

1. Kenneth J. Singleton
2. G. Duffee
3. Qiang Dai
4. Anh Le
5. Don H. Kim
6. Athanasios Orphanides
7. Andrea Buraschi
8. Glenn D. Rudebusch

Citations in the corpus

• Term Structure Estimation with Survey Data on Interest Rate Forecasts (2005, methodology): “We focus our attention on the three-factor pure-Gaussian model with a flexible specification of market price of risk (the “essentially affine” EA0(3) model, in Duffee’s (2002) terminology). Duffee (2002), Dai and Singleton (2002), and Duarte (2004) have already estimated this model with relatively l”
• Quadratic Variance Swap Models (2016, unknown): “Dai and Singleton (2003) and Duarte (2004) discuss some limitations of affine term structure models.”
• Estimation of Dynamic Term Structure Models (2012, methodology): “Duarte (2004), Ahn, Dittmar, and Gallant (2002), and Leippold and Wu (2002) construct models with fairly general specifications of the price of risk that produce nonlinear dynamics.”
• Term Structure Dynamics in Theory and Reality (2003, methodology): “Additionally, larger differences between the drifts of Y under the P and Q measures are accommodated, because μ(t) = κ(θ−Y (t))+Σ√S(t)Σ−1λ0 in Duarte’s model, as prescribed by (17). With this modification, Y follows a non-affine process under P – the drift involves both the level and square-root of ”
• A Multi-Factor Model for the Valuation and Risk Managment of Demand Deposits (2006, unknown): “Du¤ee (2002), Dai and Singleton (2001), and Duarte (2004) document and illustrate the superiority of the essentially-a¢ ne multifactor models over single factor and multi-factor a¢ ne models.”
• Approximations of Euler-Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions (2007, unknown): “For example, the use of square-root processes were first initiated in 1985 for interest rate models [3]; related problems in option pricing were considered in [7]; most recent development in interest rate models can be found in [5].”
• Estimating affine multifactor term structure models using closed-form likelihood expansions (2010, unknown): “See Duarte (2004) for a model that is affine under the risk-neutral probability measure, but not under the true probability measure.”
• Habit Formation and Macroeconomic Models of the Term Structure of Interest Rates (2007, methodology): “Duffee (2002), Duarte (2004), Dai and Singleton Table VII Campbell and Shiller Regressions This table reports the Campbell and Shiller (1991) regressions.”
• Discrete-Time Affineℚ Term Structure Models with Generalized Market Prices of Risk (2010, background): “Thus, we provide a structural motivation for the form of nonlinearity studied by Duarte (2004) in a reduced-form setting.”
• Identification of Maximal Affine Term Structure Models (2008, unknown): “Furthermore, because the concept of Q-maximality applies only to the risk-neutral dynamics, our approach remains valid even when risk premia do not preserve affine dynamics under the historical measure (e.g., Duarte 2004).”