Specification Analysis of Affine Term Structure Models
研究仿射期限结构模型（ATSMs）中不同子类在建模风险因子条件相关性和波动性上的灵活性差异，基于理论和实证证据指出某些三因子子类能更好解释历史利率行为。
This paper explores the structural differences and relative goodness‐of‐fits of affine term structure models (ATSMs). Within the family of ATSMs there is a trade‐off between flexibility in modeling the conditional correlations and volatilities of the risk factors. This trade‐off is formalized by our classification of N ‐factor affine family into non‐nested subfamilies of models. Specializing to three‐factor ATSMs, our analysis suggests, based on theoretical considerations and empirical evidence, that some subfamilies of ATSMs are better suited than others to explaining historical interest rate behavior.