Arbeitspapier
GMM estimation of affine term structure models
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: IHS Economics Series ; No. 315
- Klassifikation
-
Wirtschaft
Econometrics
Bayesian Analysis: General
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
affine term-structure models
GMM
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hlouskova, Jaroslava
Sögner, Leopold
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for Advanced Studies (IHS)
- (wo)
-
Vienna
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hlouskova, Jaroslava
- Sögner, Leopold
- Institute for Advanced Studies (IHS)
Entstanden
- 2015
Ähnliche Objekte (12)
Multivariate Estimation of Exponential Affine Models of the Term Structure of Interest Rates
Essays on macroeconomic policy & affine term structure models
Essays on macroeconomic policy & affine term structure models
Infinite dimensional affine term structure models under incomplete information
Ergodicity properties of affine term structure models and applications
Existence of affine realizations for Lévy term structure models
Testing term structure estimation methods
On GMM estimation of linear dynamic panel data models
An interpretation of an affine term structure model for Chile
International interest-rate risk premia in affine term structure models
Factor-GMM estimation with large sets of possibly weak instruments
Automatic positive semi-definite HAC covariance matrix and GMM estimation
Multivariate Estimation of Exponential Affine Models of the Term Structure of Interest Rates
Essays on macroeconomic policy & affine term structure models
Essays on macroeconomic policy & affine term structure models
Infinite dimensional affine term structure models under incomplete information
Ergodicity properties of affine term structure models and applications
Existence of affine realizations for Lévy term structure models
Testing term structure estimation methods
On GMM estimation of linear dynamic panel data models
An interpretation of an affine term structure model for Chile
International interest-rate risk premia in affine term structure models
Factor-GMM estimation with large sets of possibly weak instruments
Automatic positive semi-definite HAC covariance matrix and GMM estimation
Multivariate Estimation of Exponential Affine Models of the Term Structure of Interest Rates
Essays on macroeconomic policy & affine term structure models
Essays on macroeconomic policy & affine term structure models
Infinite dimensional affine term structure models under incomplete information
Ergodicity properties of affine term structure models and applications
Existence of affine realizations for Lévy term structure models
Testing term structure estimation methods
On GMM estimation of linear dynamic panel data models
An interpretation of an affine term structure model for Chile
International interest-rate risk premia in affine term structure models
Factor-GMM estimation with large sets of possibly weak instruments