GMM Estimation of Affine Term Structure Models

Jaroslava Hlouskova and Leopold Sögner
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Leopold Sögner: Department of Economics and Finance, Institute for Advanced Studies and Vienna Graduate School of Finance (VGSF), Vienna, Austria

No 315, Economics Series from Institute for Advanced Studies

Abstract: 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.

Keywords: Affine term-structure models; GMM (search for similar items in EconPapers)
JEL-codes: C01 C11 G12 (search for similar items in EconPapers)
Pages: 64 pages
Date: 2015-09
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https://irihs.ihs.ac.at/id/eprint/3678 First version, 2015 (application/pdf)

Related works:
Journal Article: GMM estimation of affine term structure models (2020)
Working Paper: GMM Estimation of Affine Term Structure Models (2015)
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Persistent link: https://EconPapers.repec.org/RePEc:ihs:ihsesp:315

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