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Erratum to: `Yield curve shapes and the asymptotic short rate distribution in affine one-factor models'

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  • Martin Keller-Ressel

Abstract

This paper corrects an error in [Keller-Ressel, M. and Steiner T. "Yield curve shapes and the asymptotic short rate distribution in affine one-factor models." Finance and Stochastics 12.2 (2008): 149-172]. The error concerns the correct expression for the boundary between normal and humped yield curve behavior in affine one-factor short-rate models.

Suggested Citation

  • Martin Keller-Ressel, 2017. "Erratum to: `Yield curve shapes and the asymptotic short rate distribution in affine one-factor models'," Papers 1711.00737, arXiv.org, revised Feb 2018.
    • Handle: RePEc:arx:papers:1711.00737
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    File URL: http://arxiv.org/pdf/1711.00737
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    1. Martin Keller-Ressel & Thomas Steiner, 2008. "Yield curve shapes and the asymptotic short rate distribution in affine one-factor models," Finance and Stochastics, Springer, vol. 12(2), pages 149-172, April.
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    Cited by:

    1. Martin Keller-Ressel & Felix Sachse, 2023. "State space decomposition and classification of term structure shapes in the two-factor Vasicek model," Papers 2303.13966, arXiv.org.
    2. Martin Keller-Ressel, 2019. "The classification of term structure shapes in the two-factor Vasicek model -- a total positivity approach," Papers 1908.04667, arXiv.org, revised Jun 2021.

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