Parametric Estimation of Quadratic Term Structure Models of Interest Rate
AbstractNonlinear filtering techniques and the quasi maximum likelihood estimator (QMLE) are applied to the problem of estimating the parameters of quadratic models for the term structure of interest rates. It is assumed that zero coupon bond yields data have been contaminated by noise, which allows the application of nonlinear filtering techniques. Without the need of real time computation, we can instead apply the smoothing techniques. The asymptotic properties of the QMLE are also analyzed in two ways: the asymptotical optimality under Kullback-Leibler criterion and its consistent conditions in general. Finally Monte Carlo simulation results are presented to confirm the performance of this strategy.
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0301001.
Length: 31 pages
Date of creation: 28 Nov 2002
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Nonlinear Filtering; Quasi-maximum likelihood estimation Quadratic Term Structure Models;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-01-12 (All new papers)
- NEP-ECM-2003-01-12 (Econometrics)
- NEP-FMK-2003-01-12 (Financial Markets)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Duan, Jin-Chuan & Simonato, Jean-Guy, 1999.
" Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter,"
Review of Quantitative Finance and Accounting,
Springer, vol. 13(2), pages 111-35, September.
- Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter," CIRANO Working Papers 95s-44, CIRANO.
- Wooldridge, Jeffrey M., 1990. "A Unified Approach to Robust, Regression-Based Specification Tests," Econometric Theory, Cambridge University Press, vol. 6(01), pages 17-43, March.
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