Identification and Estimation of Gaussian Affine Term Structure Models
收藏NBER2012-01-01 更新2025-01-04 收录
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https://www.nber.org/papers/w17772
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资源简介：
This paper develops new results for identification and estimation of Gaussian affine term structure models. We establish that three popular canonical representations are unidentified, and demonstrate how unidentified regions can complicate numerical optimization. A separate contribution of the paper
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美国国家经济研究局创建时间：
2012-01-01
