| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0286 |
| 来源ID | Technical Working Paper 0286 |
| Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions | |
| Yacine Aït-Sahalia; Robert Kimmel | |
| 发表日期 | 2002-12-09 |
| 出版年 | 2002 |
| 语种 | 英语 |
| 摘要 | We develop and implement a technique for closed-form maximum likelihood estimation (MLE) of multifactor affine yield models. We derive closed-form approximations to likelihoods for nine Dai and Singleton (2000) affine models. Simulations show our technique very accurately approximates true (but infeasible) MLE. Using US Treasury data, we estimate nine affine yield models with different market price of risk specifications. MLE allows non-nested model comparison using likelihood ratio tests; the preferred model depends on the market price of risk. Estimation with simulated and real data suggests our technique is much closer to true MLE than Euler and quasi-maximum likelihood (QML) methods. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/t0286 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/566978 |
| 推荐引用方式 GB/T 7714 | Yacine Aït-Sahalia,Robert Kimmel. Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions. 2002. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0286.pdf（322KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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