| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w20115 |
| 来源ID | Working Paper 20115 |
| Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility | |
| Drew D. Creal; Jing Cynthia Wu | |
| 发表日期 | 2014-05-15 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned stochastic volatility. Our approach uses linear regression to reduce the dimension of the numerical optimization problem yet it produces the same estimator as maximizing the likelihood. It improves the numerical behavior of estimation by eliminating parameters from the objective function that cause problems for conventional methods. We find that spanned models capture the cross-section of yields well but not volatility while unspanned models fit volatility at the expense of fitting the cross-section. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w20115 |
| 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/577793 |
| 推荐引用方式 GB/T 7714 | Drew D. Creal,Jing Cynthia Wu. Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility. 2014. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Drew D. Creal]的文章 |
| [Jing Cynthia Wu]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Drew D. Creal]的文章 |
| [Jing Cynthia Wu]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Drew D. Creal]的文章 |
| [Jing Cynthia Wu]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
