Modèles factoriels de la structure par termes des taux d'intérêt: Théorie et application économétrique

Antoine Frachot and Jean-Philippe Lesne

Annals of Economics and Statistics, 1995, issue 40, 11-36

Abstract: Most models of the term structure show a factor structure, where interest rates depend linearly on some factors. We derive in a Heath, Jarrow and Morton [1992] type framework what the main consequences of this assumption are, especially when volatilities are stochastic. We show that such a framework is able to encompass most of previous models. Secondly, we propose an econometric methodology to estimate the special case of the Linear Gaussian Model.

Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1995:i:40:p:11-36

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