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.
- Language
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Englisch
- Bibliographic citation
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Series: IHS Economics Series ; No. 315
- Classification
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Wirtschaft
Econometrics
Bayesian Analysis: General
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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affine term-structure models
GMM
- Event
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Geistige Schöpfung
- (who)
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Hlouskova, Jaroslava
Sögner, Leopold
- Event
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Veröffentlichung
- (who)
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Institute for Advanced Studies (IHS)
- (where)
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Vienna
- (when)
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2015
- Handle
- Last update
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10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Hlouskova, Jaroslava
- Sögner, Leopold
- Institute for Advanced Studies (IHS)
Time of origin
- 2015
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