2005
DOI: 10.2139/ssrn.833578
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Shape Factors and Cross-Sectional Risk

Abstract: Galluccio and Roncoroni (2006) empirically demonstrate that cross-sectional data provide relevant information when assessing dynamic risk in xed income markets. We put forward a theoretical framework supporting that nding based on the notion of "shape factors". We devise an econometric procedure to identify shape factors, propose a dynamic model for the yield curve, develop a corresponding arbitrage pricing theory, derive interest rate pricing formulae, and study the analytical properties exhibited by a nite f… Show more

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