If a polycyclic-by-finite rank-K group Γ admits a faithful affine representation making it acting on R K properly discontinuously and with compact quotient, we say that Γ admits an affine structure.

I formulate an affine term structure model of bond yields from a general equilibrium business-cycle model, with observable macro state variables of the structural economy as the factors. The factor ...

We propose using model-free yield quadratic variation measures computed from intraday data as a tool for specification testing and selection of dynamic term structure models. We find that the yield ...

We propose an affine extension of the linear Gaussian term structure model (LGM) such that the instantaneous covariation of the factors is given by an affine process on semidefinite positive matrixes.