Abstract
An affine term structure model hypothesizes that interest rates, at any point in time, are a time-invariant linear function of a small set of common factors. This class of models has proven to be a remarkably flexible structure for examining the dynamics of default-risk free bonds, and as a result affine modelling has become the dominant framework for term structure research since the early 1980s.
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Brandt, M.W., Chapman, D.A. (2018). Affine Term Structure Models. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_2850
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DOI: https://doi.org/10.1057/978-1-349-95189-5_2850
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