Identification and estimation of Gaussian affine term structure models
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Cites work
- A joint econometric model of macroeconomic and term-structure dynamics
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- An equilibrium characterization of the term structure
- Capital Accumulation and Efficient Allocation of Resources
- Efficient estimation of limited dependent variable models with endogenous explanatory variables
- Empirical dynamic asset pricing: model specification and econometric assessment
- ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES
- scientific article; zbMATH DE number 192992 (Why is no real title available?)
- scientific article; zbMATH DE number 3456410 (Why is no real title available?)
- scientific article; zbMATH DE number 3560572 (Why is no real title available?)
- Identification in Parametric Models
- Large Sample Properties of Generalized Method of Moments Estimators
- Multivariate regression models for panel data
- Testable implications of affine term structure models
- The affine arbitrage-free class of Nelson-Siegel term structure models
- What does the yield curve tell us about GDP growth?
Cited in
(22)- Direct estimation of the risk neutral factor dynamics of Gaussian term structure models
- Gaussian estimation and forecasting of multi-factor term structure models with an application to Japan and the United Kingdom
- DSGE pileups
- How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?
- Fundamental bubbles in equity markets
- Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
- Likelihood ratio testing in linear state space models: an application to dynamic stochastic general equilibrium models
- MoNK: mortgages in a New-Keynesian model
- European spreads at the interest rate lower bound
- The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
- Estimation of affine term structure models with spanned or unspanned stochastic volatility
- Testable implications of affine term structure models
- Testing affine term structure models in case of transaction costs
- Local-momentum autoregression and the modeling of interest rate term structure
- Measuring the unmeasurable: an application of uncertainty quantification to treasury bond portfolios
- Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations
- Strategic commodity allocation
- PRINCIPAL-COMPONENT-BASED GAUSSIAN AFFINE TERM STRUCTURE MODELS: CONSTRAINTS AND THEIR FINANCIAL IMPLICATIONS
- Effects of index-fund investing on commodity futures prices
- Control Charts and Multifactor Affine Term Structure Models
- Identification robust inference for the risk premium in term structure models
- Long memory affine term structure models
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