Arbeitspapier
Multivariate Estimation of Exponential Affine Models of the Term Structure of Interest Rates
In this paper I consider the estimation of multi-factor exponential affine models of the term structure of interest rates. I start with a survey of the empirical work on the term structure in continuous time, showing that in most cases the implementation of the models has not fully exploited the theoretical restrictions. I also show that these works have almost always focused on "generalizations" of the theoretical model based on the inclusion of measurement errors in bills and bonds prices. I then suggest two approaches to statistical inference: the first is based on the Kalman filter, while the second follows the indirect inference approach. I also briefly discuss the relative properties of the two estimators, and I conclude with a small Monte Carlo experiment for a one-factor Cox-Ingersoll-Ross model, whose results are rather encouraging.
- Language
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Englisch
- Bibliographic citation
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Series: Quaderni - Working Paper DSE ; No. 238
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Pastorello, Sergio
- Event
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Veröffentlichung
- (who)
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Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
- (where)
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Bologna
- (when)
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1995
- DOI
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doi:10.6092/unibo/amsacta/5075
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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
- Pastorello, Sergio
- Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
Time of origin
- 1995
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