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
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