GMM Estimation of Affine Term Structure Models

Hlouskova, J. & Sögner, L. (2020). GMM Estimation of Affine Term Structure Models. Econometrics and Statistics 13 2-15. 10.1016/j.ecosta.2019.10.001.

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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.

Item Type: Article
Uncontrolled Keywords: Affine term-structure models; GMM; Quasi-Bayesian methods
Research Programs: Ecosystems Services and Management (ESM)
Depositing User: Luke Kirwan
Date Deposited: 11 Nov 2019 07:39
Last Modified: 27 Aug 2021 17:32

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