Discrete-Time AffineℚTerm Structure Models with Generalized Market Prices of Risk
发展了一类离散时间非线性动态期限结构模型，在风险中性测度下状态向量服从离散时间仿射过程，历史分布允许非线性过程，并推导出零息债券收益率的条件似然函数闭式解。通过估计含习惯偏好的非线性模型，发现该类模型无法匹配债券收益率的条件分布关键特征。
This article develops a rich class of discrete-time, nonlinear dynamic term structure models (DTSMs). Under the risk-neutral measure, the distribution of the state vector X t resides within a family of discrete-time affine processes that nests the exact discrete-time counterparts of the entire class of continuous-time models in Duffie and Kan (1996) and Dai and Singleton (2000). Under the historical distribution, our approach accommodates nonlinear (nonaffine) processes while leading to closed-form expressions for the conditional likelihood functions for zero-coupon bond yields. As motivation for our framework, we show that it encompasses many of the equilibrium models with habit-based preferences or recursive preferences and long-run risks. We illustrate our methods by constructing maximum likelihood estimates of a nonlinear discrete-time DTSM with habit-based preferences in which bond prices are known in closed form. We conclude that habit-based models, as typically parameterized in the literature, do not match key features of the conditional distribution of bond yields. The Author 2010. Published by Oxford University Press. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.