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| Author: | Cheridito, P. Filipovic, D. Kimmel, R.L. |
| Title: | Market price of risk specifications for affine models: Theory and evidence |
| Journal: | Journal of Financial Economics
2007 : JAN, VOL. 83:1, p. 123-170 |
| Index terms: | financial markets pricing risk term structure of interest rates theories models USA |
| Language: | eng |
| Abstract: | The article presents a new market price of risk specification for affine yield models. The model is applied to U.S. Treasury data and it is found to often provide better fit than standard specifications for most affine yield models. The statistical significance is extremely strong when using when using affine models with multiple square-root type variables. The specification can also be applied to other asset pricing models. |
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