Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/122174 
Erscheinungsjahr: 
2015
Schriftenreihe/Nr.: 
IHS Economics Series No. 315
Verlag: 
Institute for Advanced Studies (IHS), Vienna
Zusammenfassung: 
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.
Schlagwörter: 
affine term-structure models
GMM
JEL: 
C01
C11
G12
Dokumentart: 
Working Paper

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