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英文文献：An Asset Pricing Approach to Testing General Term Structure Models including Heath-Jarrow-Morton Specifications and Affine Subclasses-测试一般期限结构模型的资产定价方法，包括希斯-杰罗-莫顿规范和仿射子类
英文文献作者：Bent Jesper Christensen,Michel van der Wel
英文文献摘要：
We develop a new empirical approach to term structure analysis that allows testing for time-varying risk premia and for the absence of arbitrage opportunities based on the drift restriction within the Heath, Jarrow and Morton (1992) framework. As in the equity case, a zero intercept condition is tested, but in addition to the standard bilinear term in factor loadings and market prices of risk, the relevant mean restriction in the term structure case involves an additional nonlinear (quadratic) term in factor loadings. We estimate our general model using likelihood-based dynamic factor model techniques for a variety of volatility factors, and implement the relevant likelihood ratio tests. Our factor model estimates are similar across a general state space implementation and an alternative robust two-step principal components approach. The evidence favors time-varying market prices of risk. Most of the risk premium is associated with the slope factor, and individual risk prices depend on own past values, factor realizations, and past values of other risk prices, and are significantly related to the output gap, consumption, and the equity risk price. The absence of arbitrage opportunities is strongly rejected with one or two factors in the model, but not with three or more factors.
在Heath, Jarrow和Morton(1992)框架内，我们开发了一种新的期限结构分析经验方法，允许测试时变风险溢价和无套利机会的漂移限制。与股权情况一样，我们测试了零截距条件，但除了因子负荷和风险的市场价格中的标准双线性项之外，期限结构情况中的相关均值限制还涉及因子负荷中的一个额外的非线性(二次)项。我们使用基于概率的动态因子模型技术对各种波动因子进行估计，并实施相关的似然比检验。我们的因子模型估计在一般状态空间实现和另一种稳健的两步主成分方法中是相似的。证据支持时变的风险市场价格。大部分风险溢价与斜率因子相关，单个风险价格依赖于自身的过去价值、要素实现和其他风险价格的过去价值，并与产出缺口、消费和股权风险价格显著相关。模型中有一两个因素强烈否定了套利机会的不存在，但没有三个或更多的因素。
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