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Identification and estimation of Gaussian affine term structure models with regime switching
Wang, Gang - In: Journal of mathematical finance 4 (2014) 3, pp. 148-159
Persistent link: https://www.econbiz.de/10010400123
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The predictive content of the term premium for GDP growth in Canada : evidence from linear, Markov-switching and probit estimations
Lange, Ronald Henry - In: The North American journal of economics and finance : a … 44 (2018), pp. 80-91
Persistent link: https://www.econbiz.de/10012036297
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Correcting estimation bias in regime switching dynamic term structure models
Cho, Sungjun; Liu, Liu - In: Review of quantitative finance and accounting 61 (2023) 3, pp. 1093-1127
Persistent link: https://www.econbiz.de/10014342159
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Bayesian versus maximum likelihood estimation of term structure models driven by latent diffusions
Frühwirth, Manfred; Schneider, Paul; Sögner, Leopold - In: Operations research proceedings 2005 : selected papers …, (pp. 507-512). 2006
Persistent link: https://www.econbiz.de/10003347723
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Instrumental-variables estimation in Markov switching models with endogenous explanatory variables : an application to the term structure of interest rates
Psaradakis, Zacharias G. (contributor);  … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 10 (2006) 2, pp. 1-29
Persistent link: https://www.econbiz.de/10003558927
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Testing for the diffusion matrix in a continuous-time Markov process model with applications to the term structure of interest rates
Li, Fuchun - 2015
The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal...
Persistent link: https://www.econbiz.de/10010531070
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Volatility dynamics for the S&P 500 : further evidence from non-affine, multi-factor jump diffusions
Kaeck, Andreas; Alexander, Carol - In: Journal of banking & finance 36 (2012) 11, pp. 3110-3121
Persistent link: https://www.econbiz.de/10009672975
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A multifactor, nonlinear, continuous-time model of interest rate volatility
Boudoukh, Jacob; Richardson, Matthew; Stanton, Richard; … - 1999
Persistent link: https://www.econbiz.de/10001394312
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Testing for the diffusion matrix in a continuous-time markov process model with applications to the term structure of interest rates
Li, Fuchun - In: Journal of financial econometrics 19 (2021) 5, pp. 789-822
Persistent link: https://www.econbiz.de/10012799048
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Bayesian Versus Maximum Likelihood Estimation of Term Structure Models Driven by Latent Diffusions
Schneider, Paul; Frühwirth, Manfred; Sögner, Leopold - 2016
This paper provides an econometric analysis of parameter estimation for continuous-time affine term structure models …) estimation. To cope with the discrepancy between a continuous-time formulation and data only available in discrete time, we use … estimation we employ genetic algorithms with penalty functions for the parameter restrictions. For ML estimation we employ both …
Persistent link: https://www.econbiz.de/10014063043