Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/159081
Authors: 
Pastorello, Sergio
Year of Publication: 
1995
Series/Report no.: 
Quaderni - Working Paper DSE 238
Abstract: 
In this paper I consider the estimation of multi-factor exponential affine models of the term structure of interest rates. I start with a survey of the empirical work on the term structure in continuous time, showing that in most cases the implementation of the models has not fully exploited the theoretical restrictions. I also show that these works have almost always focused on "generalizations" of the theoretical model based on the inclusion of measurement errors in bills and bonds prices. I then suggest two approaches to statistical inference: the first is based on the Kalman filter, while the second follows the indirect inference approach. I also briefly discuss the relative properties of the two estimators, and I conclude with a small Monte Carlo experiment for a one-factor Cox-Ingersoll-Ross model, whose results are rather encouraging.
Persistent Identifier of the first edition: 
Creative Commons License: 
https://creativecommons.org/licenses/by-nc/3.0/
Document Type: 
Working Paper

Files in This Item:
File
Size
233.84 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.