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- W3195869293 abstract "We introduce a new framework that facilitates term structure modeling with both positive interest rates and flexible time-series dynamics but that is also tractable, meaning amenable to quick and robust estimation. Using both simulations and U.S. historical data, we compare our approach with benchmark Gaussian and stochastic volatility models as well as a shadow rate model that enforces positive interest rates. Our approach, which remains arbitrarily close to arbitrage-free, offers a more accurate characterization of bond Sharpe ratios due to a better fit of the volatility dynamics and a more efficient estimation of the return dynamics. Further, standard shadow rate and stochastic volatility models exhibit important restrictions that are largely absent in our approach." @default.
- W3195869293 created "2021-08-30" @default.
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- W3195869293 date "2015-01-01" @default.
- W3195869293 modified "2023-09-27" @default.
- W3195869293 title "Tractable Term Structure Models" @default.
- W3195869293 hasPublicationYear "2015" @default.
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