RT Journal Article
T1 Beyond single-factor affine term structure models
A1 Ferreira, Eva
A1 Gil-Bazo, Javier
AB This 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.
PB Oxford University Press
SN 1568-4636
YR 2004
FD 2004-10
LK https://hdl.handle.net/10016/7500
UL https://hdl.handle.net/10016/7500
LA eng
DS e-Archivo
RD 1 sept. 2024