A Semi-Parametric Factor Model of Interest Rates and Tests of the A ne Term Structure Eric Ghysels Pennsylvania State University and CIRANO

@inproceedings{Ng1998ASF,
  title={A Semi-Parametric Factor Model of Interest Rates and Tests of the A ne Term Structure Eric Ghysels Pennsylvania State University and CIRANO},
  author={S. Ng},
  year={1998}
}
Many continuous time term structure of interest rate models assume a factor structure where the drift and volatility functions are a ne functions of the state variable process. These models involve very speci c parametric choices of factors and functional speci cations of the drift and volatility. Moreover, under the a ne term structure restrictions not all… CONTINUE READING