Identification of Maximal Affine Term Structure Models
在Duffie和Kan（1996）基础上提出仿射模型的新表示，用无穷小到期收益率及其二次协方差作为状态变量，这些变量有明确经济含义且全局可识别，相比Dai和Singleton（2000）的“最大”模型有更多可识别参数，并基于三因子模型实证发现可直接从收益率曲线估计状态向量，有利于多因子模型的估计和解释。
ABSTRACT Building on Duffie and Kan (1996) , we propose a new representation of affine models in which the state vector comprises infinitesimal maturity yields and their quadratic covariations. Because these variables possess unambiguous economic interpretations, they generate a representation that is globally identifiable . Further, this representation has more identifiable parameters than the “maximal” model of Dai and Singleton (2000) . We implement this new representation for select three‐factor models and find that model‐independent estimates for the state vector can be estimated directly from yield curve data, which present advantages for the estimation and interpretation of multifactor models.