Parametric Estimation of Quadratic Term Structure Models of Interest Rate

Li Chen () and H. Vincent Poor
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H. Vincent Poor: Princeton University

Econometrics from University Library of Munich, Germany

Abstract: Nonlinear filtering techniques and the quasi maximum likelihood estimator (QMLE) are applied to the problem of estimating the parameters of quadratic models for the term structure of interest rates. It is assumed that zero coupon bond yields data have been contaminated by noise, which allows the application of nonlinear filtering techniques. Without the need of real time computation, we can instead apply the smoothing techniques. The asymptotic properties of the QMLE are also analyzed in two ways: the asymptotical optimality under Kullback-Leibler criterion and its consistent conditions in general. Finally Monte Carlo simulation results are presented to confirm the performance of this strategy.

Keywords: Nonlinear Filtering; Quasi-maximum likelihood estimation Quadratic Term Structure Models (search for similar items in EconPapers)
JEL-codes: C13 C15 C33 (search for similar items in EconPapers)
Pages: 31 pages
Date: 2002-11-28
New Economics Papers: this item is included in nep-ecm and nep-fmk
Note: Type of Document - Tex; prepared on IBM PC - PC-TEX; to print on PostScript; pages: 31 ; figures: included. We never published this piece and now we would like to reduce our mailing and xerox cost by posting it.
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Citations: View citations in EconPapers (1)

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