Affine Term Structure Models

Piazzesi, Monika

doi:10.1016/b978-0-444-50897-3.50015-8

Cited by 268 publications

(164 citation statements)

References 160 publications

Supporting

Mentioning

154

Contrasting

Order By: Relevance

“…ATSMs assume that the short interest rate is an affine function 2 of a state vector X(t) of N underlying factors, which can be observable (macroeconomic variables) or latent, Piazzesi (2010).…”

Section: Affine Term Structure Modelsmentioning

confidence: 99%

“…The affine term structure modeling framework dominates the theoretical and empirical literature on term structure models, Piazzesi (2010). To our knowledge, this is the first study to test the in-sample fit and the out-sample forcasting capabilities of ATSMs using Colombian data, which is a necessary step to determine the usefulness of ATSMs.…”

Section: Introductionmentioning

confidence: 99%

“…These models provide a flexible structure for examining the dynamics of zero-cupon bond yields by ruling out arbitrage opportunities. They consistently link the cross-sectional and the time-series properties of the yield curve, Piazzesi (2010). The no-arbitrage conditions, in turn, improve the efficiency of the estimates.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Affine Term Structure Models: Forecasting the Colombian Yield Curve

Velásquez-Giraldo

Restrepo-Tobón

2015

SSRN Journal

View full text Add to dashboard Cite

Section: Affine Term Structure Modelsmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 1 more Smart Citation

Affine Term Structure Models: Forecasting the Colombian Yield Curve

Velásquez-Giraldo

Restrepo-Tobón

2015

SSRN Journal

View full text Add to dashboard Cite

“…As discussed above, non-negativity for V (t) and θ (t) requires that 2κ v v > σ 2 v and 2κ θ θ > σ 2 θ . Three Factor Jump Diffusion Model (CHENJ): ABL (2004) extend the three factor Chen (1996) model by incorporating jumps in the short rate process, hence improving the ability of the model to capture the effect of outliers, and addressing the finding of Piazzesi (2004Piazzesi ( , 2005) that violent discontinuous movements may arise from monetary policy regime changes. The model is defined as follows:…”

Section: Three Factor Model (Chen)mentioning

confidence: 99%

In- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982–2008

Cai

Swanson

2011

Journal of Empirical Finance

View full text Add to dashboard Cite

We review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of our empirical analysis are used to carry out a "horserace" comparing discrete and continuous models across multiple sample periods, forecast horizons, and evaluation intervals. Our evaluation involves comparing models during two distinct historical periods, as well as across our entire weekly sample of Eurodollar deposit rates from 1982-2008. Interestingly, when our entire sample of data is used to estimate competing models, the "best" performer in terms of distributional "fit" as well as predictive density accuracy, both in-sample and out-of-sample, is the three factor Chen (CHEN: 1996) model examined by Andersen, Benzoni and Lund (2004). Just as interestingly, a logistic type discrete smooth transition autoregression (STAR) model is preferred to the "best" continuous model (i.e. the one factor Cox, Ingersoll, and Ross (CIR: 1985) model) when comparing predictive accuracy for the "Stable 1990s" period that we examine. Moreover, an analogous result holds for the "Post 1990s" period that we examine, where the STAR model is preferred to a two factor stochastic mean model. Thus, when the STAR model is parameterized using only data corresponding to a particular sub-sample, it outperforms the "best" continuous alternative during that period. However, when models are estimated using the entire dataset, the continuous CHEN model is preferred, regardless of the variety of model specification (selection) test that is carried out. Given that it is very difficult to ascertain the particular future regime that will ensue when constructing ex ante predictions, thus, the CHEN model is our overall "winning" model, regardless of sample period.

show abstract

“…We price both the real and nominal Treasury yield curves using no-arbitrage restrictions. In the tradition of the affine DTSM literature (e.g., Duffie and Kan (1996), Piazzesi (2010), Duffie, Pan, and Singleton (2000)), we assume that the real spot rate is a linear combination of latent and observable macroeconomic factors. The macroeconomic factors are the three main determinants of consumer prices growth: core, food, and energy inflation.…”

Section: Introductionmentioning

confidence: 99%