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EFM and a class of affine term structure models
Markus Mayer
The general
-factor Gaussian model
Notation
Bond prices
Properties of the term structure
and
Slope of the short end
Instantaneous covariances
Unconditional finite-time yield dynamics
Conditional finite-time yield dynamics
The forward curve
Expected excess returns and risk premia
Bond portfolios
Local efficient frontier
Finite time portfolio evolution
Sensitivity of prices and yields to volatilities
Partial yield curve inversion using linearity in some parameters
Sensitivity of yields to constant risk premia
EFM(2)
Introduction
Model specification
Diagonalisation of
and
Special results for EFM(2)
u(t)
Short-end slope
OU-processes
Momenta
OU-process in VAR form
Maximum likelihood estimation
Autocorrelation function and power spectrum
Short observation times
Estimation of OU processes
Unrestricted estimation
Restricted estimation
Non-stationary OU-processes
Diagonalisation of outer product matrices
Model specification - EFM(1)
Diagonalisation of
and
Bond prices under EFM(1)
Bibliography
About this document ...
Markus Mayer 2009-06-22
-factor Gaussian model
and 
and 
