GMM estimation of affine term structure models

Hlouskova, Jaroslava ORCID: https://orcid.org/0000-0002-2298-0068 and Sögner, Leopold ORCID: https://orcid.org/0000-0001-5388-0601 (2019) GMM estimation of affine term structure models. Econometrics and Statistics. (Published before print)

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Abstract or Table of Contents

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: Macroeconomics and Economic Policy
Status: Published before print
Date Deposited: 13 Nov 2019 10:33
Last Modified: 13 Nov 2019 10:33
Identification Number or DOI: 10.1016/j.ecosta.2019.10.001
ISSN: 2452-3062
URI: https://irihs.ihs.ac.at/id/eprint/5198

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