GMM estimation of affine term structure models

Jaroslava Hlouskova and Leopold Sögner

Econometrics and Statistics, 2020, vol. 13, issue C, 2-15

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 p−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.

Keywords: Affine term-structure models; GMM; Quasi-Bayesian methods (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: GMM Estimation of Affine Term Structure Models (2015)
Working Paper: GMM Estimation of Affine Term Structure Models (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:13:y:2020:i:c:p:2-15

DOI: 10.1016/j.ecosta.2019.10.001

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