GMM estimation of affine term structure models

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Hlouskova, JaroslavaORCID: https://orcid.org/0000-0002-2298-0068 and Sögner, LeopoldORCID: https://orcid.org/0000-0001-5388-0601 (2020) GMM estimation of affine term structure models. Econometrics and Statistics, 13, pp. 2-15. https://doi.org/10.1016/j.ecosta.2019.10.001

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Official URL: https://doi.org/10.1016/j.ecosta.2019.10.001

Abstract

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
Date Deposited:	13 Nov 2019 10:33
Last Modified:	19 Sep 2024 08:53
DOI:	10.1016/j.ecosta.2019.10.001
ISSN:	2452-3062
URI:	https://irihs.ihs.ac.at/id/eprint/5198

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