Parametric Estimation of Quadratic Term Structure Models of Interest Rate
Nonlinear 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.
|Date of creation:||28 Nov 2002|
|Date of revision:|
|Note:||Type of Document - Tex; prepared on IBM PC - PC-TEX; to print on PostScript; pages: 31 ; figures: included. We never published this piece and now we would like to reduce our mailing and xerox cost by posting it.|
|Contact details of provider:|| Web page: http://econwpa.repec.org|
References listed on IDEAS
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.
When requesting a correction, please mention this item's handle: RePEc:wpa:wuwpem:0301001. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA)
If references are entirely missing, you can add them using this form.