Vasicek O. An equilibrium characterization of the term structure[J]. Journal of Financial Economics, 1977, 5(2):177-188.
[2]
Duffie D, Kan Rui. A yield-factor model of interest rates[J]. Mathematical Finance, 1996, 6(4):379-406.
[3]
Dai Qiang, Singleton K J. Expectations puzzles, time-varying risk premia and affine models of the term structure[J]. Journal of Financial Economics, 2002, 63(3):415-441.
[4]
Duffee G R. Term premia and interest rate forecasts in affine models[J]. Journal of Finance, 2002, 57(1):405-443.
[5]
Cochrane J H, Piazzesi M. Decomposing the yield curve.Working Paper,University of Chicago and NBER, 2008.
[6]
Christensen J H E, Diebold F X, Rudebusch G D. The affine arbitrage-free class of nelson-siegel term structure models[J]. Journal of Econometrics, 2011, 164(1): 4-20.
[7]
Nelson C R, Siegel A F. Parsimonious modeling of yield curves[J]. Journal of Business, 1987,60(4):473-489.
[8]
Collin-Dufresne P, Goldstein R S, Jones C S. Identification of maximal affine term structure models[J]. Journal of Finance, 2008, 63(2): 743-795.
[9]
At-Sahalia Y, Kimmel R L. Estimating affine multifactor term structure models using closed-form likelihood expansions[J]. Journal of Financial Economics,2010, 98(1):113-144.
[10]
Kim D H. Challenges in macro-finance modeling. Working Paper, Federal Reserve Bank of st. Louis,2009.
[11]
Ang A., Piazzesi M. A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables[J]. Journal of Monetary Economics, 2003, 50(4): 745-787.
[12]
Hamilton J D, Wu J C. Identification and estimation of Gaussian affine term structure models[J]. Journal of Econometrics, 2012, 168(2): 315-331.
[13]
Rothenberg T J. Efficient estimation with a priori information[M]. Yale University Press, 1973.
[14]
Joslin S, Singleton K J, Zhu Haoxiang. A new perspective on gaussian dynamic term structure models[J]. Review of Financial Studies, 2011, 24(3): 926-970.
[15]
Chen R R, Scott L. Maximum likelihood estimation for a multifactor equilibrium model of the term structure of interest rates[J]. The Journal of Fixed Income, 1993, 3(3): 14-31.
[16]
Le A, Dai Qiang, Singleton K J. Discrete-time affine Q term structure models with generalized market prices of risk[J]. Review of Financial Studies, 2010, 23(5): 2184-2227.
