Identification and estimation of Gaussian affine term structure models

DOI10.1016/j.jeconom.2012.01.035zbMath1443.62352OpenAlexW3122930642MaRDI QIDQ527947

James D. Hamilton, Jing Cynthia Wu

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w17772.pdf

zbMATH Keywords

identificationestimationaffine term structure modelsminimum-chi-square

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (14)

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Cites Work

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