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Hamilton, J.D. and Wu, J.C. (2012) Identification and Estimation of Gaussian Affine Term Structure Models. Journal of Econometrics, 168, 315-331.
http://dx.doi.org/10.1016/j.jeconom.2012.01.035

has been cited by the following article:

• TITLE: Arbitrage-Free Gaussian Affine Term Structure Model with Observable Factors

  AUTHORS: Gang Wang

  KEYWORDS: GDTSMs, Observable Factors, No-Arbitrage

  JOURNAL NAME: Journal of Mathematical Finance, Vol.5 No.2, May 5, 2015

  ABSTRACT: This paper analyzes a simple discrete-time affine multifactor model of the term structure of interest rates in which the pricing factors that follow a Gaussian first-order vector autoregression are observable and there are no possibilities for risk-free arbitrage. We present the theoretical results for the compatible risk-neutral dynamics of observable factors in a maximally flexible way consistent with no-arbitrage under the assumption that the factor loadings of some yields are specified exogenously.