Internationally affine term structure models

The Spanish Review of Financial Economics Pub Date : 2011-01-01 DOI:10.1016/j.srfe.2010.05.001

Antonio Diez de los Rios

引用次数: 4

Abstract

This note provides the conditions needed to obtain a multi-country term structure model where both bond yields for each country and the expected rate of depreciation (over any arbitrary period of time) are known affine functions of the set of state variables. In addition, two main families of dynamic term structure models are shown to satisfy these conditions.

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国际仿射期限结构模型

摘要本文提供了获得多国期限结构模型所需的条件，其中每个国家的债券收益率和预期折旧率(在任意时间段内)都是状态变量集的已知仿射函数。此外，本文还介绍了满足这些条件的两大类动态期限结构模型。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

The Spanish Review of Financial Economics

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