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Empirical Estimation of Affine Gaussian Term Structure Model

Empirical Estimation of Affine Gaussian Term Structure Model
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Book Synopsis Empirical Estimation of Affine Gaussian Term Structure Model by : Alireza Gazerani

Download or read book Empirical Estimation of Affine Gaussian Term Structure Model written by Alireza Gazerani and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:


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Empirical Estimation of Affine Gaussian Term Structure Model
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Empirical Estimation of Affine Gaussian Term Structure Model

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The first essay empirically evaluates recently developed techniques that have been proposed to improve the estimation of affine term structure models. The evalu
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This article investigates parameter estimation of affine term structure models by means of the generalized method of moments. Exact moments of the affine latent
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We develop a Gaussian discrete time essentially affine term structure model with long memory state variables. This feature reconciles the strong persistence obs