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An Affine Term Structure Model with Auxiliary Stochastic Volatility-Covolatility
Term structure Stochastic volatility Wishart Autoregressive process
2011/4/2
This paper proposes an affine term structure model in a stochastic volatility setting. It provides a useful modeling tool to bridge the two strands of macroeconomic and finance research: the DSGE-VAR ...
Multivariate Feller conditions in term structure models: Why do(n't) we care?
Multivariate Feller conditions structure models care
2010/12/17
In this paper, the relevance of the Feller conditions in discrete time macro-finance term structure models is investigated. The Feller conditions are usually imposed on a continuous time multivariate ...