Related Books
Language: en
Pages:
Pages:
Type: BOOK - Published: 2004 - Publisher:
Language: en
Pages: 224
Pages: 224
Type: BOOK - Published: 2005-12-08 - Publisher: Springer Science & Business Media
This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the Universit
Language: en
Pages: 36
Pages: 36
Type: BOOK - Published: 2006 - Publisher:
We show how to estimate affine term structure models from a panel of noisy bond yields using simulated maximum likelihood based on importance sampling. We appro
Language: en
Pages: 32
Pages: 32
Type: BOOK - Published: 2017 - Publisher:
"This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotical
Language: en
Pages: 61
Pages: 61
Type: BOOK - Published: 2017 - Publisher:
We develop a Gaussian discrete time essentially affine term structure model with long memory state variables. This feature reconciles the strong persistence obs