Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/122174
Authors: 
Hlouskova, Jaroslava
Sögner, Leopold
Year of Publication: 
2015
Series/Report no.: 
Reihe Ökonomie / Economics Series, Institut für Höhere Studien (IHS) 315
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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