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Note for Term Structure Theory

Basic Theory on Term Structure Model

Estimation of Gaussian ATSMs

Adrian, Crump and Moench (ACM)Adrian, Crump and Moench (ACM)
Consistency of ACM Estimation
Simple Self-Consistent (SSC) Estimator

Special Topics on Term Structure Model

Macro-Finance ATSMs
Regime-Switching ATSMs
Zero Lower Bound, Shadow Rate and ATSMs
ATSMs with Falling Stars

Advanced Proofs

Consistency of Non-Parametric Estimator of Nelson-Siegel Model for Dynamic Nelson-Siegel Model Dynamic Nelson-Siegel Model
Proof of Dai-Singleton Model Proof of Dai-Singleton Model for Identification of ATSMs Identification of ATSMs
Proof of Canonical JSZ model for Identification of ATSMs Identification of ATSMs