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- W2246083221 abstract "Recent empirical studies suggests that affine models, a popular framework to analyse term structures of interest rates, are misspecified. This evidence is mainly based on time series properties of the data. This article re-examines this controversy, by investigating both cross-sectional and dynamic properties of affine models. To do so, it applies robust non-parametric techniques to two different sets of financial data, which contain information on the UK and US yield curve. The analysis shows the strong non-linearity in the relationship of yields to the US and UK short rate. The non-linear pattern is concave in the state variable, and increasing with respect to the maturity, for both countries. Linear and non-linear specifications are then compared by means of a formal statistical criterion, the Generalised Likelihood-Ratio test statistics, which confirms evidence against the linear specification." @default.
- W2246083221 created "2016-06-24" @default.
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- W2246083221 date "2009-07-13" @default.
- W2246083221 modified "2023-09-27" @default.
- W2246083221 title "Testing Linearity in Term Structures" @default.
- W2246083221 hasPublicationYear "2009" @default.
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