Term Structure Persistence

Article, Preprint English OPEN
Abbritti, M. (Mirko); Gil-Alana, L.A. (Luis A.); Lovcha, Y. (Yuliya); Moreno, A. (Antonio);
(2012)
  • Subject: Fixed Income Securities | Fixed Income Securities, Yield Curve, Affine Term Structure, Fractional Integration, Term Premium | Yield Curve | Affine Term Structure | Term Premium | :Economía y Empresa [Materias Investigacion] | Fractional Integration
    • jel: jel:G1 | jel:E4 | jel:C3

Stationary I(0) models employed in yield curve analysis typically imply an unrealistically low degree of volatility in long-run short-rate expectations due to fast mean reversion. In this paper we propose a novel multivariate affine term structure model with a two-fold ... View more
  • References (7)

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