GMM Estimation of Affine Term Structure Models

Hlouskova, Jaroslava and Sögner, Leopold (August 2015) GMM Estimation of Affine Term Structure Models. IHS Economics Series 315, 64 p.

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Abstract or Table of Contents

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.

Item Type: IHS Series
Keywords: Affine term-structure models, GMM
Classification Codes (e.g. JEL): C01, C11, G12
Status: Published
Date Deposited: 01 Sep 2015 08:12
Last Modified: 25 Jul 2017 07:22
URI: http://irihs.ihs.ac.at/id/eprint/3678

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