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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/88761 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/88761 http://eprints.org/relation/ismediumThumbnailVersionOf https://pure.iiasa.ac.at/id/document/88761 88771 2 255422 document 88771 small.jpg image/png 082c2b654567ecde3834a7fb8a8e3be2 MD5 1877 2019-11-11 07:45:51 https://pure.iiasa.ac.at/id/eprint/16157/6/small.jpg 16157 6 6 image/png other Thumbnails conversion from text to thumbnail_small en public

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http://eprints.org/relation/isVersionOf https://pure.iiasa.ac.at/id/document/88761 http://eprints.org/relation/isVolatileVersionOf https://pure.iiasa.ac.at/id/document/88761 http://eprints.org/relation/issmallThumbnailVersionOf https://pure.iiasa.ac.at/id/document/88761 archive 353 disk0/00/01/61/57 2019-11-11 07:39:29 2021-08-27 17:32:20 2019-11-11 07:39:29 article show Hlouskova J. 2112 Sögner L. pub prog_esm Affine term-structure models; GMM; Quasi-Bayesian methods 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. 2020-01 published Elsevier 10.1016/j.ecosta.2019.10.001 125 public Econometrics and Statistics 13 2-15 TRUE 2452-3062 FALSE no info:eu-repo/semantics/article