Evaluating an Alternative Risk Preference in Affine Term Structure Models
检验了仿射期限结构模型中另一种风险价格参数化能否解决利率均值与波动率的矛盾，发现该参数化不足以解决此矛盾，且模型估计中状态变量高度持久的结果可能源于风险价格参数化缺乏灵活性。
Dai and Singleton (2002) and Duffee (2002) show that there is a tension in affine term structure models between matching the mean and the volatility of interest rates. This article examines whether this tension can be solved by an alternative parametrization of the price of risk. The empirical evidence suggests that, first, the examined parametrization is not sufficient to solve the mean-volatility tension. Second, the usual result in the estimation of affine models, indicating that some of the state variables are extremely persistent, may have been caused by the lack of flexibility in the parametrization of the price of risk. Copyright 2004, Oxford University Press.