Time Series and Cross-Section Information in Affine Term-Structure Models
用Duffie和Kan的仿射期限结构模型，结合时间序列和横截面信息估计利率期限结构，发现三因子相关模型能较好拟合横截面和动态特征。
In this article I provide an empirical analysis of the term structure of interest rates using the affine class of term-structure models introduced by Duffie and Kan. I estimate these models by combining time series and cross-section information in a theoretically consistent way. In the estimation I use a Kalman filter based on a discretization of the continuous-time factor process and allow for a general measurement-error structure. I provide evidence that a three-factor affine model with correlated factors is able to provide an adequate fit of the cross-section and the dynamics of the term structure. The three factors can be given the usual interpretation of level, steepness, and curvature.