%0 Journal Article %1 citeulike:780112 %A Dai, Qiang %A Singleton, Kenneth J. %D 2000 %J The Journal of Finance %K finmath, interest-rate-model %N 5 %P 1943--1978 %R 10.2307/222481 %T Specification Analysis of Affine Term Structure Models %U http://dx.doi.org/10.2307/222481 %V 55 %X This paper explores the structural differences and relative goodness-of-fits of affine term structure models (ATSMs). Within the family of ATSMs there is a trade-off between flexibility in modeling the conditional correlations and volatilities of the risk factors. This trade-off is formalized by our classification of N-factor affine family into N + 1 non-nested subfamilies of models. Specializing to three-factor ATSMs, our analysis suggests, based on theoretical considerations and empirical evidence, that some subfamilies of ATSMs are better suited than others to explaining historical interest rate behavior.

@article{citeulike:780112, abstract = {{This paper explores the structural differences and relative goodness-of-fits of affine term structure models (ATSMs). Within the family of ATSMs there is a trade-off between flexibility in modeling the conditional correlations and volatilities of the risk factors. This trade-off is formalized by our classification of N-factor affine family into N + 1 non-nested subfamilies of models. Specializing to three-factor ATSMs, our analysis suggests, based on theoretical considerations and empirical evidence, that some subfamilies of ATSMs are better suited than others to explaining historical interest rate behavior.}}, added-at = {2019-06-18T20:47:03.000+0200}, author = {Dai, Qiang and Singleton, Kenneth J.}, biburl = {https://www.bibsonomy.org/bibtex/2a87664f529d809ead37639315c010bfb/alexv}, citeulike-article-id = {780112}, citeulike-attachment-1 = {dai_00_specification_24344.pdf; /pdf/user/alexv/article/780112/24344/dai_00_specification_24344.pdf; eea79b00b40d1ff1fed4286ba0c413c1d09db228}, citeulike-linkout-0 = {http://dx.doi.org/10.2307/222481}, citeulike-linkout-1 = {http://www.jstor.org/stable/222481}, doi = {10.2307/222481}, file = {dai_00_specification_24344.pdf}, interhash = {92f3bf3b088a5cbd310cc00756893ec2}, intrahash = {a87664f529d809ead37639315c010bfb}, journal = {The Journal of Finance}, keywords = {finmath, interest-rate-model}, number = 5, pages = {1943--1978}, posted-at = {2007-06-11 20:57:16}, priority = {2}, timestamp = {2019-06-18T20:47:03.000+0200}, title = {{Specification Analysis of Affine Term Structure Models}}, url = {http://dx.doi.org/10.2307/222481}, volume = 55, year = 2000 }