Estimation of Affine Term Structure Models with Spanned Or Unspanned Stochastic Volatility

Estimation of Affine Term Structure Models with Spanned Or Unspanned Stochastic Volatility
Author: Drew Creal
Publisher:
Total Pages: 61
Release: 2017
Genre:
ISBN:


Download Estimation of Affine Term Structure Models with Spanned Or Unspanned Stochastic Volatility Book in PDF, Epub and Kindle

We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned stochastic volatility. Our approach uses linear regression to reduce the dimension of the numerical optimization problem yet it produces the same estimator as maximizing the likelihood. It improves the numerical behavior of estimation by eliminating parameters from the objective function that cause problems for conventional methods. We find that spanned models capture the cross-section of yields well but not volatility while unspanned models fit volatility at the expense of fitting the cross-section.


Estimation of Affine Term Structure Models with Spanned Or Unspanned Stochastic Volatility
Language: en
Pages: 61
Authors: Drew Creal
Categories:
Type: BOOK - Published: 2017 - Publisher:

GET EBOOK

We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned stochastic volatility. Our approach uses l
Estimation of Affine Term Structure Models with Spanned Or Unspanned Stochastic Volatility
Language: en
Pages: 0
Authors: Drew D. Creal
Categories: Economics
Type: BOOK - Published: 2014 - Publisher:

GET EBOOK

We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned stochastic volatility. Our approach uses l
Estimation of Affine Term Structure Models with Spanned Or Unspanned Stochastics Volatility
Language: en
Pages: 67
Authors: Drew D. Creal
Categories:
Type: BOOK - Published: 2014 - Publisher:

GET EBOOK

Identification and Estimation of 'Maximal' Affine Term Structure Models
Language: en
Pages: 62
Authors: Pierre Collin-Dufresne
Categories:
Type: BOOK - Published: 2011 - Publisher:

GET EBOOK

We propose a canonical representation for affine term structure models where the state vector is comprised of the first few Taylor-series components of the yiel
Handbook of Fixed-Income Securities
Language: en
Pages: 630
Authors: Pietro Veronesi
Categories: Business & Economics
Type: BOOK - Published: 2016-04-04 - Publisher: John Wiley & Sons

GET EBOOK

A comprehensive guide to the current theories and methodologies intrinsic to fixed-income securities Written by well-known experts from a cross section of acade