Linear-price term structure models

C. Gourieroux; A. Monfort

doi:10.1016/j.jempfin.2013.07.004

Linear-price term structure models

C. Gourieroux
, A. Monfort

Research output: Contribution to journal › Article › peer-review

Abstract

We characterize the term structure models in which the zero-coupon prices are linear functions of underlying factors. These models are called Linear-price Term Structure Models (LTSM). We provide two types of LTSM where the observable factors predict regimes which are not observed by the investor. These hidden regimes are represented by a Markov chain, which features either an exogenous, or an endogenous dynamics. We illustrate the possible term structure patterns, their evolutions, in particular their ability to stay close to a zero lower bound.

Original language	English
Pages (from-to)	24-41
Number of pages	18
Journal	Journal of Empirical Finance
Volume	24
DOIs	https://doi.org/10.1016/j.jempfin.2013.07.004
Publication status	Published - 1 Jan 2013
Externally published	Yes

Keywords

Binding floor
Finite dimensional dependence
Hidden Markov chain
Linear term structure model

Access to Document

10.1016/j.jempfin.2013.07.004

Cite this

@article{c50e548c970348899a0ae32d88b2ccff,

title = "Linear-price term structure models",

abstract = "We characterize the term structure models in which the zero-coupon prices are linear functions of underlying factors. These models are called Linear-price Term Structure Models (LTSM). We provide two types of LTSM where the observable factors predict regimes which are not observed by the investor. These hidden regimes are represented by a Markov chain, which features either an exogenous, or an endogenous dynamics. We illustrate the possible term structure patterns, their evolutions, in particular their ability to stay close to a zero lower bound.",

keywords = "Binding floor, Finite dimensional dependence, Hidden Markov chain, Linear term structure model",

author = "C. Gourieroux and A. Monfort",

year = "2013",

month = jan,

day = "1",

doi = "10.1016/j.jempfin.2013.07.004",

language = "English",

volume = "24",

pages = "24--41",

journal = "Journal of Empirical Finance",

issn = "0927-5398",

}

TY - JOUR

T1 - Linear-price term structure models

AU - Gourieroux, C.

AU - Monfort, A.

PY - 2013/1/1

Y1 - 2013/1/1

N2 - We characterize the term structure models in which the zero-coupon prices are linear functions of underlying factors. These models are called Linear-price Term Structure Models (LTSM). We provide two types of LTSM where the observable factors predict regimes which are not observed by the investor. These hidden regimes are represented by a Markov chain, which features either an exogenous, or an endogenous dynamics. We illustrate the possible term structure patterns, their evolutions, in particular their ability to stay close to a zero lower bound.

AB - We characterize the term structure models in which the zero-coupon prices are linear functions of underlying factors. These models are called Linear-price Term Structure Models (LTSM). We provide two types of LTSM where the observable factors predict regimes which are not observed by the investor. These hidden regimes are represented by a Markov chain, which features either an exogenous, or an endogenous dynamics. We illustrate the possible term structure patterns, their evolutions, in particular their ability to stay close to a zero lower bound.

KW - Binding floor

KW - Finite dimensional dependence

KW - Hidden Markov chain

KW - Linear term structure model

UR - https://www.scopus.com/pages/publications/84883523553

U2 - 10.1016/j.jempfin.2013.07.004

DO - 10.1016/j.jempfin.2013.07.004

M3 - Article

AN - SCOPUS:84883523553

SN - 0927-5398

VL - 24

SP - 24

EP - 41

JO - Journal of Empirical Finance

JF - Journal of Empirical Finance

ER -

Linear-price term structure models

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this