Identification and estimation of Gaussian affine term structure models
type: Item
instance of: scholarly article
title: Identification and estimation of Gaussian affine term structure models
zbMATH Open document ID: 1443.62352
author: James D. Hamilton
author: Jing Cynthia Wu
published in: Journal of Econometrics
publication date: 2017-05-12T00:00:00Z
full work available at URL: w17772.pdf
full work available at URL: S0304407612000450
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 6714703
zbMATH Keywords: affine term structure models
zbMATH Keywords: identification
zbMATH Keywords: estimation
zbMATH Keywords: minimum-chi-square
MaRDI profile type: Publication
OpenAlex ID: W3122930642
cites work: What does the yield curve tell us about GDP growth?
cites work: Multivariate regression models for panel data
cites work: The affine arbitrage-free class of Nelson-Siegel term structure models
cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES
cites work: Q4131492
cites work: ESTIMATION OF CONTINUOUS-TIME MODELS FOR STOCK RETURNS AND INTEREST RATES
cites work: Testable implications of affine term structure models
cites work: Large Sample Properties of Generalized Method of Moments Estimators
cites work: A joint econometric model of macroeconomic and term-structure dynamics
cites work: Q4039873
cites work: Capital Accumulation and Efficient Allocation of Resources
cites work: Efficient estimation of limited dependent variable models with endogenous explanatory variables
cites work: Identification in Parametric Models
cites work: Q4042591
cites work: Q5290921
cites work: An equilibrium characterization of the term structure
DOI: 10.1016/J.JECONOM.2012.01.035
description: scientific article; zbMATH DE number 6714703