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GMM Estimation of Affine Term Structure Models

Author

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  • Hlouskova, Jaroslava

    (Department of Economics and Finance, Institute for Advanced Studies, Vienna, Austria and Thompson Rivers University, Canada)

  • Sögner, Leopold

    (Department of Economics and Finance, Institute for Advanced Studies and Vienna Graduate School of Finance (VGSF), Vienna, Austria)

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.

Suggested Citation

  • Hlouskova, Jaroslava & Sögner, Leopold, 2015. "GMM Estimation of Affine Term Structure Models," Economics Series 315, Institute for Advanced Studies.
    • Handle: RePEc:ihs:ihsesp:315
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    File URL: https://irihs.ihs.ac.at/id/eprint/3678
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    More about this item

    Keywords

    Affine term-structure models; GMM;

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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