{"@context":{"@vocab":"https://cir.nii.ac.jp/schema/1.0/","rdfs":"http://www.w3.org/2000/01/rdf-schema#","dc":"http://purl.org/dc/elements/1.1/","dcterms":"http://purl.org/dc/terms/","foaf":"http://xmlns.com/foaf/0.1/","prism":"http://prismstandard.org/namespaces/basic/2.0/","cinii":"http://ci.nii.ac.jp/ns/1.0/","datacite":"https://schema.datacite.org/meta/kernel-4/","ndl":"http://ndl.go.jp/dcndl/terms/","jpcoar":"https://github.com/JPCOAR/schema/blob/master/2.0/"},"@id":"https://cir.nii.ac.jp/crid/1362544421031982976.json","@type":"Article","productIdentifier":[{"identifier":{"@type":"DOI","@value":"10.1111/1540-6261.00426"}},{"identifier":{"@type":"URI","@value":"https://api.wiley.com/onlinelibrary/tdm/v1/articles/10.1111%2F1540-6261.00426"}},{"identifier":{"@type":"URI","@value":"https://onlinelibrary.wiley.com/doi/pdf/10.1111/1540-6261.00426"}},{"identifier":{"@type":"NAID","@value":"30005055559"}}],"dc:title":[{"@value":"Term Premia and Interest Rate Forecasts in Affine Models"}],"description":[{"type":"abstract","notation":[{"@value":"<jats:title>ABSTRACT</jats:title><jats:p>The standard class of affine models produces poor forecasts of future Treasury yields. Better forecasts are generated by assuming that yields follow random walks. The failure of these models is driven by one of their key features: Compensation for risk is a multiple of the variance of the risk. Thus risk compensation cannot vary independently of interest rate volatility. I also describe a broader class of models. These aessentially affine‐ models retain the tractability of standard models, but allow compensation for interest rate risk to vary independently of interest rate volatility. This additional flexibility proves useful in forecasting future yields.</jats:p>"}]}],"creator":[{"@id":"https://cir.nii.ac.jp/crid/1382544421031982976","@type":"Researcher","foaf:name":[{"@value":"Gregory R. Duffee"}]}],"publication":{"publicationIdentifier":[{"@type":"PISSN","@value":"00221082"},{"@type":"EISSN","@value":"15406261"}],"prism:publicationName":[{"@value":"The Journal of Finance"}],"dc:publisher":[{"@value":"Wiley"}],"prism:publicationDate":"2002-02","prism:volume":"57","prism:number":"1","prism:startingPage":"405","prism:endingPage":"443"},"reviewed":"false","dc:rights":["http://onlinelibrary.wiley.com/termsAndConditions#vor"],"url":[{"@id":"https://api.wiley.com/onlinelibrary/tdm/v1/articles/10.1111%2F1540-6261.00426"},{"@id":"https://onlinelibrary.wiley.com/doi/pdf/10.1111/1540-6261.00426"}],"createdAt":"2003-03-12","modifiedAt":"2023-10-02","relatedProduct":[{"@id":"https://cir.nii.ac.jp/crid/1360004234260667520","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"A term structure model of interest rates with quadratic volatility"}]},{"@id":"https://cir.nii.ac.jp/crid/1360285710511938176","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"Predicting Interest Rate Volatility Using Information on the Yield Curve"}]},{"@id":"https://cir.nii.ac.jp/crid/1360302865532425472","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"A term structure interest rate model with the Brownian bridge lower bound"}]},{"@id":"https://cir.nii.ac.jp/crid/1360576118712555904","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"How arbitrage-free is the Nelson–Siegel model under stochastic volatility?"}]},{"@id":"https://cir.nii.ac.jp/crid/1360848656285002240","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@value":"A Modified Arbitrage-Free Nelson–Siegel Model: An Alternative Affine Term Structure Model of Interest Rates"}]},{"@id":"https://cir.nii.ac.jp/crid/1390282680141137536","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isReferencedBy"],"jpcoar:relatedTitle":[{"@language":"ja","@value":"現代ポートフォリオ理論を用いた生保の最適資産ポートフォリオの提案"},{"@language":"en","@value":"Proposal of the Optimum Portfolio of Assets in the Life Insurance Company by Means of the Finance Theory"},{"@language":"ja-Kana","@value":"ゲンダイ ポートフォリオ リロン オ モチイタ セイホ ノ サイテキ シサン ポートフォリオ ノ テイアン"}]},{"@id":"https://cir.nii.ac.jp/crid/1520572359280765568","@type":"Article","resourceType":"学術雑誌論文(journal article)","relationType":["isCitedBy"],"jpcoar:relatedTitle":[{"@value":"金利の期間構造モデルによる景気一致指数の予測--アフィン型マクロファイナンスモデルによる接近"},{"@language":"ja-Kana","@value":"キンリ ノ キカン コウゾウ モデル ニ ヨル ケイキ イッチ シスウ ノ ヨソク アフィンガタ マクロファイナンス モデル ニ ヨル セッキン"}]},{"@id":"https://cir.nii.ac.jp/crid/1572261549953003136","@type":"Article","relationType":["isCitedBy"],"jpcoar:relatedTitle":[{"@language":"ja","@value":"一般化モーメント法から擬似尤度へ : 数理ファイナンスの動向"}]}],"dataSourceIdentifier":[{"@type":"CROSSREF","@value":"10.1111/1540-6261.00426"},{"@type":"CIA","@value":"30005055559"},{"@type":"CROSSREF","@value":"10.1080/14697688.2017.1417623_references_DOI_D35X88R58bReWZyJPs1Ru1d05t5"},{"@type":"CROSSREF","@value":"10.5609/jsis.2015.631_33_references_DOI_D35X88R58bReWZyJPs1Ru1d05t5"},{"@type":"CROSSREF","@value":"10.1111/irfi.12053_references_DOI_D35X88R58bReWZyJPs1Ru1d05t5"},{"@type":"CROSSREF","@value":"10.1007/s10436-024-00439-4_references_DOI_D35X88R58bReWZyJPs1Ru1d05t5"},{"@type":"CROSSREF","@value":"10.1016/j.iref.2022.01.011_references_DOI_D35X88R58bReWZyJPs1Ru1d05t5"},{"@type":"CROSSREF","@value":"10.1007/s10690-014-9191-x_references_DOI_D35X88R58bReWZyJPs1Ru1d05t5"}]}