ANDREW SIEGEL, University of Washington, discusses Laurent Calvet, Adlai J. Fisher and Liuren Wu's paper - Dimension-Invariant Dynamic Term Structures - during the 2nd Finance and Statistics Conference. The 2nd HEC Finance and Statistics Conference was held in Paris on October 8, 2010. It was...

ANDREW SIEGEL, University of Washington, discusses Laurent Calvet, Adlai J. Fisher and Liuren Wu's paper - Dimension-Invariant Dynamic Term Structures - during the 2nd Finance and Statistics Conference. The 2nd HEC Finance and Statistics Conference was held in Paris on October 8, 2010. It was...

Dimension-Invariant Dynamic Term Structures - LAURENT CALVET, HEC Paris, presents his paper (coauthored with Adlai J. Fisher and Liuren Wu). We develop a class of dynamic term structure models that accommodates arbitrarily many interest-rate factors with very few parameters. The model builds on a...