Affine Term-Structure Models
AFNS (Christensen-Rudebusch) and AFGNS (CDR) risk-neutral yields and instantaneous forward rates.
AFNS Risk-Neutral Yields
- South Korea 1-Year Zero-Coupon Bond AFNS Risk-Neutral RateChristensen, Diebold, and Rudebusch (2011); Christensen and Rudebusch (2012)KRRNAFNS1Monthly
- South Korea 3-Year Zero-Coupon Bond AFNS Risk-Neutral RateChristensen, Diebold, and Rudebusch (2011); Christensen and Rudebusch (2012)KRRNAFNS3Monthly
- South Korea 5-Year Zero-Coupon Bond AFNS Risk-Neutral RateChristensen, Diebold, and Rudebusch (2011); Christensen and Rudebusch (2012)KRRNAFNS5Monthly
- South Korea 10-Year Zero-Coupon Bond AFNS Risk-Neutral RateChristensen, Diebold, and Rudebusch (2011); Christensen and Rudebusch (2012)KRRNAFNS10Monthly
AFGNS Risk-Neutral Yields
- South Korea 1-Year Zero-Coupon Bond AFGNS Risk-Neutral RateChristensen, Diebold, and Rudebusch (2009)KRRNAFGNS1Monthly
- South Korea 3-Year Zero-Coupon Bond AFGNS Risk-Neutral RateChristensen, Diebold, and Rudebusch (2009)KRRNAFGNS3Monthly
- South Korea 5-Year Zero-Coupon Bond AFGNS Risk-Neutral RateChristensen, Diebold, and Rudebusch (2009)KRRNAFGNS5Monthly
- South Korea 10-Year Zero-Coupon Bond AFGNS Risk-Neutral RateChristensen, Diebold, and Rudebusch (2009)KRRNAFGNS10Monthly
AFNS Instantaneous Forward Rates
- South Korea AFNS Risk-Neutral Instantaneous Forward Rate 1 Year HenceChristensen, Diebold, and Rudebusch (2011); Christensen and Rudebusch (2012)KRIFRAFNS1Daily
- South Korea AFNS Risk-Neutral Instantaneous Forward Rate 3 Years HenceChristensen, Diebold, and Rudebusch (2011); Christensen and Rudebusch (2012)KRIFRAFNS3Daily
- South Korea AFNS Risk-Neutral Instantaneous Forward Rate 5 Years HenceChristensen, Diebold, and Rudebusch (2011); Christensen and Rudebusch (2012)KRIFRAFNS5Daily
- South Korea AFNS Risk-Neutral Instantaneous Forward Rate 10 Years HenceChristensen, Diebold, and Rudebusch (2011); Christensen and Rudebusch (2012)KRIFRAFNS10Daily
AFGNS Instantaneous Forward Rates
- South Korea AFGNS Risk-Neutral Instantaneous Forward Rate 1 Year HenceChristensen, Diebold, and Rudebusch (2009)KRIFRAFGNS1Daily
- South Korea AFGNS Risk-Neutral Instantaneous Forward Rate 3 Years HenceChristensen, Diebold, and Rudebusch (2009)KRIFRAFGNS3Daily
- South Korea AFGNS Risk-Neutral Instantaneous Forward Rate 5 Years HenceChristensen, Diebold, and Rudebusch (2009)KRIFRAFGNS5Daily
- South Korea AFGNS Risk-Neutral Instantaneous Forward Rate 10 Years HenceChristensen, Diebold, and Rudebusch (2009)KRIFRAFGNS10Daily