Collin-Dufresne is from the Haas School of Business, University of California at Berkeley, and NBER. Goldstein is from the Carlson School of Management, University of Minnesota, and NBER. Jones is from the Marshall School of Business, University of Southern California. We thank seminar participants at UCLA, Cornell University, McGill, the University of Minnesota, the University of Arizona, UNC, Syracuse University, the University of Pennsylvania, the USC Applied Math seminar, the University of Texas at Austin, the Federal Reserve Bank of San Francisco, the CIREQ-CIRANO-MITACS conference on Univariate and Multivariate Models for Asset Pricing, the Econometric Society Meetings in Washington DC, and the Math-finance workshop in Frankfurt for their comments and suggestions. We would like to thank Luca Benzoni, Michael Brandt, Mike Chernov, Qiang Dai, Jefferson Duarte, Greg Duffee, Garland Durham, Bing Han, Philipp Illeditsch, Mike Johannes, and Ken Singleton for many helpful comments. We are especially grateful to the editor, Suresh Sundaresan, and an anonymous referee for their extensive guidance.
Identification of Maximal Affine Term Structure Models
Version of Record online: 1 APR 2008
© 2008 the American Finance Association
The Journal of Finance
Volume 63, Issue 2, pages 743–795, April 2008
How to Cite
COLLIN-DUFRESNE, P., GOLDSTEIN, R. S. and JONES, C. S. (2008), Identification of Maximal Affine Term Structure Models. The Journal of Finance, 63: 743–795. doi: 10.1111/j.1540-6261.2008.01331.x
- Issue online: 1 APR 2008
- Version of Record online: 1 APR 2008
Options for accessing this content:
- If you are a society or association member and require assistance with obtaining online access instructions please contact our Journal Customer Services team.
- If your institution does not currently subscribe to this content, please recommend the title to your librarian.
- Login via other institutional login options http://onlinelibrary.wiley.com/login-options.
- You can purchase online access to this Article for a 24-hour period (price varies by title)
- If you already have a Wiley Online Library or Wiley InterScience user account: login above and proceed to purchase the article.
- New Users: Please register, then proceed to purchase the article.
Login via OpenAthens
Search for your institution's name below to login via Shibboleth.
Registered Users please login:
- Access your saved publications, articles and searches
- Manage your email alerts, orders and subscriptions
- Change your contact information, including your password
Please register to:
- Save publications, articles and searches
- Get email alerts
- Get all the benefits mentioned below!