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Chib et al., 2009 - Google Patents

Analysis of multifactor affine yield curve models

Chib et al., 2009

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Document ID
12764904702431096499
Author
Chib S
Ergashev B
Publication year
Publication venue
Journal of the American Statistical Association

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Snippet

In finance and economics much work has been done on the theoretical modeling and statistical estimation of the yield curve, defined as the relationship between (− 1/τ) log pt (τ) and τ, where pt (τ) is the time t price of a zero-coupon bond with payoff 1 at maturity date t+ τ …
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