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Beyond single-factor affine term structure models

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorFerreira, Eva
dc.contributor.authorGil-Bazo, Javier
dc.date.accessioned2010-03-25T10:49:50Z
dc.date.available2010-03-25T10:49:50Z
dc.date.issued2004-10
dc.description.abstractThis article proposes a new approach to testing for the hypothesis of a single priced risk factor driving the term structure of interest rates. The method does not rely on any parametric specification of the state variable dynamics or the market price of risk. It simply exploits the constraint imposed by the no-arbitrage condition on instantaneous expected bond returns. In order to achieve our goal, we develop a Kolmogorov-Smirnov test and apply it to data on Treasury bills and bonds for both the United States and Spain. We find that the single risk factor hypothesis cannot be rejected for either dataset.
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationJournal of Financial Econometrics, 2004, 2, 4. p. 565-591
dc.identifier.issn1568-4636
dc.identifier.urihttps://hdl.handle.net/10016/7500
dc.language.isoeng
dc.publisherOxford University Press
dc.relation.publisherversionhttp://proquest.umi.com/pqdlink?did=756063411&sid=1&Fmt=2&clientId=36295&RQT=309&VName=PQD
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.subject.otherBond markets
dc.subject.otherRisk assessment
dc.subject.otherEstimating techniques
dc.subject.otherModels
dc.subject.otherStudies
dc.titleBeyond single-factor affine term structure models
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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