Identification And Estimation Of Maximal Affine Term Structure Models
Download and Read Identification And Estimation Of Maximal Affine Term Structure Models full books in PDF, ePUB, and Kindle. Read online free Identification And Estimation Of Maximal Affine Term Structure Models ebook anywhere anytime directly on your device. We cannot guarantee that every ebooks is available!
Related Books
Language: en
Pages: 62
Pages: 62
Type: BOOK - Published: 2011 - Publisher:
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
Language: en
Pages: 53
Pages: 53
Type: BOOK - Published: 2011 - Publisher:
Building on the approach of Duffie and Kan (1996) who use finite maturity yields as the state vector, we propose a new representation of affine models in which
Language: en
Pages: 60
Pages: 60
Type: BOOK - Published: 2012 - Publisher:
This paper develops new results for identification and estimation of Gaussian affine term structure models. We establish that three popular canonical representa
Language: en
Pages: 0
Pages: 0
Type: BOOK - Published: 2014 - Publisher:
We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned stochastic volatility. Our approach uses l
Language: en
Pages: 36
Pages: 36
Type: BOOK - Published: 2006 - Publisher:
We show how to estimate affine term structure models from a panel of noisy bond yields using simulated maximum likelihood based on importance sampling. We appro
