Multivariate Estimation of Exponential Affine Models of the Term Structure of Interest Rates

Pastorello, Sergio (1995) Multivariate Estimation of Exponential Affine Models of the Term Structure of Interest Rates. Bologna: Dipartimento di Scienze economiche DSE, p. 30. DOI 10.6092/unibo/amsacta/5075. In: Quaderni - Working Paper DSE (238).
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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.

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Monograph (Working Paper)
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Pastorello, Sergio
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26 Apr 2016 08:46
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26 Apr 2016 08:46
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