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).
Full text available as:
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.
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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Document type
Monograph
(Working Paper)
Creators
Subjects
DOI
Deposit date
26 Apr 2016 08:46
Last modified
26 Apr 2016 08:46
URI
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