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GMM estimation of affine term structure models
| Content Provider | EconStor |
|---|---|
| Author | Hlouskova, Jaroslava Sögner, Leopold |
| Abstract | This article investigates parameter estimation of affine term structure models by means of the generalized method of moments. Exact moments of the affine latent process as well as of the yields are obtained by using results derived for p-polynomial processes. Then the generalized method of moments, combined with Quasi-Bayesian methods, is used to get reliable parameter estimates and to perform inference. After a simulation study, the estimation procedure is applied to empirical interest rate data. |
| File Format | |
| Language | English |
| Publisher | Institute for Advanced Studies (IHS) |
| Publisher Date | 2015-01-01 |
| Publisher Place | Vienna |
| Access Restriction | Open |
| Rights Holder | http://www.econstor.eu/dspace/Nutzungsbedingungen |
| Subject Keyword | affine term-structure models GMM Econometrics Bayesian Analysis: General Asset Pricing; Trading Volume; Bond Interest Rates |
| Content Type | Text |
| Resource Type | Article |