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Modèles factoriels de la structure par termes des taux d'intérêt : Théorie et application économétrique

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  • Antoine Frachot
  • Jean-Philippe Lesne

Abstract

Most models of the term structure show a factor structure, where interest rates depend linearly on some factors. We derive in a Heath, Jarrow and Morton [1992] type framework what the main consequences of this assumption are, especially when volatilities are stochastic. We show that such a framework is able to encompass most of previous models. Secondly, we propose an econometric methodology to estimate the special case of the Linear Gaussian Model.

Suggested Citation

  • Antoine Frachot & Jean-Philippe Lesne, 1995. "Modèles factoriels de la structure par termes des taux d'intérêt : Théorie et application économétrique," Annals of Economics and Statistics, GENES, issue 40, pages 11-36.
    • Handle: RePEc:adr:anecst:y:1995:i:40:p:11-36
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