Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions
收藏NBER2002-12-01 更新2025-01-04 收录
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https://www.nber.org/papers/t0286
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2002-12-01
