IDEAS home Printed from https://ideas.repec.org/p/bol/bodewp/238.html
   My bibliography  Save this paper

Multivariate Estimation of Exponential Affine Models of the Term Structure of Interest Rates

Author

Listed:
  • S. Pastorello

Abstract

In this paper I consider the estimation of multi-factor exponential affine models of the term structure of interest rates. I start with a survey of the empirical work on the term structure in continuous time, showing that in most cases the implementation of the models has not fully exploited the theoretical restrictions. I also show that these works have almost always focused on generalizations of the theoretical model based on the inclusion of measurement errors in bills and bonds prices. I then suggest two approaches to statistical inference: the first is based on the Kalman filter, while the second follows the indirect inference approach. I also briefly discuss the relative properties of the two estimators, and I conclude with a small Monte Carlo experiment for a one-factor Cox-Ingersoll-Ross model, whose results are rather encouraging.

Suggested Citation

  • S. Pastorello, 1995. "Multivariate Estimation of Exponential Affine Models of the Term Structure of Interest Rates," Working Papers 238, Dipartimento Scienze Economiche, Universita' di Bologna.
    • Handle: RePEc:bol:bodewp:238
    as

    Download full text from publisher

    File URL: http://amsacta.unibo.it/5075/1/238.pdf
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bol:bodewp:238. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Dipartimento Scienze Economiche, Universita' di Bologna (email available below). General contact details of provider: https://edirc.repec.org/data/sebolit.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.