Identification of Gaussian Term Structure Models with Observable Factors

Marco Matsumura, Ajax Moreira and Jose Valentim Machado Vicente

Brazilian Review of Econometrics, 2011, vol. 31, issue 2

Abstract: We define invariant operators for term structure models with observable factors, and show that they preserve the likelihood. Thus, the models need to be identified, and alternative restrictions are proposed. The choice of identification keeps the responses of the yield curve and of the observable factors to state variable shocks unchanged. However, it may affect the latent response.

Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://periodicos.fgv.br/bre/article/view/5835 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sbe:breart:v:31:y:2011:i:2:a:5835

Access Statistics for this article

Brazilian Review of Econometrics is currently edited by Daniel Monte

More articles in Brazilian Review of Econometrics from Sociedade Brasileira de Econometria - SBE Contact information at EDIRC.
Bibliographic data for series maintained by Núcleo de Computação da FGV EPGE ().