GMM Estimation of Affine Term Structure Models
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- Hlouskova, Jaroslava & Sögner, Leopold, 2020. "GMM estimation of affine term structure models," Econometrics and Statistics, Elsevier, vol. 13(C), pages 2-15.
- Hlouskova, Jaroslava & Sögner, Leopold, 2015. "GMM Estimation of Affine Term Structure Models," Economics Series 315, Institute for Advanced Studies.
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More about this item
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
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2015-08-25 (Econometrics)
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