A general equilibrium framework for the affine class of term structure models
Autor(a) principal: | |
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Data de Publicação: | 2004 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.5/15485 |
Resumo: | The Duffie and Kan (1996) model, which can be considered as the most general affine term structure formulation, was originally specified in terms of risk- adjusted stochastic processes for its state variables. The goal of the present paper is to derive a Duffie and Kan (1996) model’ specification under the physical probability measure that is compatible with the formulation given by the authors under the equivalent martingale (“money market account”) measure. For that purpose, the Duffie and Kan (1996) model will be fitted into a general equilibrium monetary framework. The resulting analytical solution for the vector of factor’ risk premiums enables the econometric estimation of the model’ parameters using a “time-series” or a “panel-data” approach, and nests, as special cases, several other specifications already proposed in the literature. |
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A general equilibrium framework for the affine class of term structure modelsAffine term structure modelsChange of measureFeynman-Kacˇ solutionCash-in-advance modelsPower utilityLog utilityThe Duffie and Kan (1996) model, which can be considered as the most general affine term structure formulation, was originally specified in terms of risk- adjusted stochastic processes for its state variables. The goal of the present paper is to derive a Duffie and Kan (1996) model’ specification under the physical probability measure that is compatible with the formulation given by the authors under the equivalent martingale (“money market account”) measure. For that purpose, the Duffie and Kan (1996) model will be fitted into a general equilibrium monetary framework. The resulting analytical solution for the vector of factor’ risk premiums enables the econometric estimation of the model’ parameters using a “time-series” or a “panel-data” approach, and nests, as special cases, several other specifications already proposed in the literature.Springer VerlagRepositório da Universidade de LisboaNunes, João Pedro Vidal2018-05-24T14:16:43Z2004-042004-04-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10400.5/15485engNunes, João Pedro Vidal (2004). "A general equilibrium framework for the affine class of term structure models". Portuguese Economic Journal, 3(1):15-481617-982X (print)10.1007/s10258-004-0027-xmetadata only accessinfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-03-06T14:45:26Zoai:www.repository.utl.pt:10400.5/15485Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:01:07.713752Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
A general equilibrium framework for the affine class of term structure models |
title |
A general equilibrium framework for the affine class of term structure models |
spellingShingle |
A general equilibrium framework for the affine class of term structure models Nunes, João Pedro Vidal Affine term structure models Change of measure Feynman-Kacˇ solution Cash-in-advance models Power utility Log utility |
title_short |
A general equilibrium framework for the affine class of term structure models |
title_full |
A general equilibrium framework for the affine class of term structure models |
title_fullStr |
A general equilibrium framework for the affine class of term structure models |
title_full_unstemmed |
A general equilibrium framework for the affine class of term structure models |
title_sort |
A general equilibrium framework for the affine class of term structure models |
author |
Nunes, João Pedro Vidal |
author_facet |
Nunes, João Pedro Vidal |
author_role |
author |
dc.contributor.none.fl_str_mv |
Repositório da Universidade de Lisboa |
dc.contributor.author.fl_str_mv |
Nunes, João Pedro Vidal |
dc.subject.por.fl_str_mv |
Affine term structure models Change of measure Feynman-Kacˇ solution Cash-in-advance models Power utility Log utility |
topic |
Affine term structure models Change of measure Feynman-Kacˇ solution Cash-in-advance models Power utility Log utility |
description |
The Duffie and Kan (1996) model, which can be considered as the most general affine term structure formulation, was originally specified in terms of risk- adjusted stochastic processes for its state variables. The goal of the present paper is to derive a Duffie and Kan (1996) model’ specification under the physical probability measure that is compatible with the formulation given by the authors under the equivalent martingale (“money market account”) measure. For that purpose, the Duffie and Kan (1996) model will be fitted into a general equilibrium monetary framework. The resulting analytical solution for the vector of factor’ risk premiums enables the econometric estimation of the model’ parameters using a “time-series” or a “panel-data” approach, and nests, as special cases, several other specifications already proposed in the literature. |
publishDate |
2004 |
dc.date.none.fl_str_mv |
2004-04 2004-04-01T00:00:00Z 2018-05-24T14:16:43Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.5/15485 |
url |
http://hdl.handle.net/10400.5/15485 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
Nunes, João Pedro Vidal (2004). "A general equilibrium framework for the affine class of term structure models". Portuguese Economic Journal, 3(1):15-48 1617-982X (print) 10.1007/s10258-004-0027-x |
dc.rights.driver.fl_str_mv |
metadata only access info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
metadata only access |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Springer Verlag |
publisher.none.fl_str_mv |
Springer Verlag |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131100408184832 |