GMM Estimation of Affine Term Structure Models
Statistical Finance
2015-08-10 v1 Statistics Theory
Statistics Theory
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
Cite
@article{arxiv.1508.01661,
title = {GMM Estimation of Affine Term Structure Models},
author = {Jaroslava Hlouskova and Leopold Sögner},
journal= {arXiv preprint arXiv:1508.01661},
year = {2015}
}