The Relevance of the Price of Risk in Affine Term Structure Models

The Relevance of the Price of Risk in Affine Term Structure Models
Author :
Publisher :
Total Pages : 138
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ISBN-10 : OCLC:45884964
ISBN-13 :
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Book Synopsis The Relevance of the Price of Risk in Affine Term Structure Models by : Jefferson Duarte

Download or read book The Relevance of the Price of Risk in Affine Term Structure Models written by Jefferson Duarte and published by . This book was released on 2000 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt:


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Several papers have questioned the ability of multifactor affine models to extract interest rate volatility from the cross-section of bond prices. These studies