G2TT
来源类型Discussion paper
规范类型论文
来源IDDP2108
DP2108 Regional Aspects of Unemployment in Europe and in Italy
Fiorella Kostoris Padoa Schioppa
发表日期1999-03-29
出版年1999
语种英语
摘要In this paper we provide an empirical analysis of the term structure of interest rates using the affine class of term structure models introduced by Duffie and Kan. We estimate these models by combining time-series and cross-section information in a theoretically consistent way. In the estimation we use an exact discretization of the continuous time factor process and allow for a general measurement error structure. We provide evidence that a three factor affine model with correlated factors is able to provide an adequate fit of the cross section and the dynamics of the term structure. The three factors can be given the usual interpretation of level, steepness and curvature. The shocks to these factors are significantly correlated.
主题Financial Economics
关键词Kalman filter Panel data Term structure
URLhttps://cepr.org/publications/dp2108
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/531222
推荐引用方式
GB/T 7714
Fiorella Kostoris Padoa Schioppa. DP2108 Regional Aspects of Unemployment in Europe and in Italy. 1999.
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