GMM Estimation of Affine Term Structure Models
Author | : Jaroslava Hlouskova |
Publisher | : |
Total Pages | : 34 |
Release | : 2019 |
ISBN-10 | : OCLC:1304315493 |
ISBN-13 | : |
Rating | : 4/5 (93 Downloads) |
Download or read book GMM Estimation of Affine Term Structure Models written by Jaroslava Hlouskova and published by . This book was released on 2019 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.