Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/122174 
Year of Publication: 
2015
Series/Report no.: 
IHS Economics Series No. 315
Publisher: 
Institute for Advanced Studies (IHS), Vienna
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.
Subjects: 
affine term-structure models
GMM
JEL: 
C01
C11
G12
Document Type: 
Working Paper

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