Staying at zero with affine processes: an application to term structure modelling

DOI10.1016/j.jeconom.2017.08.013zbMath1377.62199OpenAlexW3121185764MaRDI QIDQ1676383

Fulvio Pegoraro, Alain Monfort, Jean-Paul Renne, Guillaume Roussellet

Publication date: 7 November 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.08.013

zbMATH Keywords

term structure modelaffine processzero lower boundlift-off probabilities

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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