Specification Analysis of Affine Term Structure Models
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This paper characterizes, interprets, and tests the over-identifying restrictions imposed in affine models of the term" structure. Letting r(t) = Y(t), where Y is an unobserved vector affine process, our analysis proceeds in three steps. First, we show that affine models can be categorized
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美国国家经济研究局创建时间：
1997-08-01
