GMM estimation of affine term structure models

Hlouskova, JaroslavaORCID: and Sögner, LeopoldORCID: (2020) GMM estimation of affine term structure models. Econometrics and Statistics, 13, pp. 2-15.

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Parameter estimation of affine term structure models by means of the generalized method of moments is investigated. Exact moments of the affine latent process as well as of the yields are obtained by using results derived for polynomial processes. Then the generalized method of moments, combined with multi-start random search and 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. (author's abstract)

Item Type: Article in Academic Journal
Keywords: Affine term-structure models; GMM; Quasi-Bayesian methods
Research Units: Former Research Units (until 2020) > Macroeconomics and Economic Policy
Date Deposited: 13 Nov 2019 10:33
Last Modified: 13 Dec 2023 12:45
DOI: 10.1016/j.ecosta.2019.10.001
ISSN: 2452-3062

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