This article proposes a semiparametric two-factor term structure model based on a consol rate and the spread between a short rate and the consol rate. The diffusion functions in both the consol rate and spread processes are nonparametrically specified so that the model allows for maximal flexibility of diffusion functions in fitting into data. The drift function of the spread process is specified as a mean-reverting function, while the drift function of the consol rate process is left unrestr...Expand abstract
- Journal of Financial Econometrics
- Publication date:
- Local pid:
- Copyright date:
A Semiparametric Two-Factor Term Structure Model.
Views and Downloads
If you are the owner of this record, you can report an update to it here: Report update to this record