Matches in SemOpenAlex for { <https://semopenalex.org/work/W2000740795> ?p ?o ?g. }
Showing items 1 to 78 of
78
with 100 items per page.
- W2000740795 abstract "Exponential affine models (EAMs) are factor models popular in financial asset pricing requiring a dynamic term structure, such as for interest rates and commodity futures. When implementing EAMs it is usual to first specify the model in state space form (SSF) and then to estimate it using the Kalman filter. To specify the SSF, a structure of the measurement error must be provided which is not specified in the EAM itself. Different specifications of the measurement errors will result in different SSFs, leading to different parameter estimates. In this paper we investigate the influence of the measurement error specification on the parameter estimates. Using market data for both fixed income and commodities we provide evidence that measurement errors are cross-sectionally and serially correlated, which is not consistent with the independent identically distributed (iid) assumptions commonly adopted in the literature. Using simulated data we show that measurement error assumptions affect parameter estimates, especially in the presence of serial correlation. We provide a new specification, the augmented state space form (ASSF), as a solution to these biases and show that the ASSF gives much better estimates than the basic SSF." @default.
- W2000740795 created "2016-06-24" @default.
- W2000740795 creator A5021254405 @default.
- W2000740795 creator A5034954317 @default.
- W2000740795 date "2009-01-01" @default.
- W2000740795 modified "2023-09-23" @default.
- W2000740795 title "Estimating Exponential Affine Models with Correlated Measurement Errors: Applications to Fixed Income and Commodities" @default.
- W2000740795 cites W1497699984 @default.
- W2000740795 cites W1975911643 @default.
- W2000740795 cites W2003904946 @default.
- W2000740795 cites W2005861097 @default.
- W2000740795 cites W2026039938 @default.
- W2000740795 cites W2049633694 @default.
- W2000740795 cites W2068629725 @default.
- W2000740795 cites W2072982728 @default.
- W2000740795 cites W2127388073 @default.
- W2000740795 cites W2140030195 @default.
- W2000740795 cites W2141186877 @default.
- W2000740795 cites W2145224101 @default.
- W2000740795 cites W2145968758 @default.
- W2000740795 cites W2153915357 @default.
- W2000740795 cites W2157910496 @default.
- W2000740795 cites W2159723913 @default.
- W2000740795 cites W2161387316 @default.
- W2000740795 cites W2164777891 @default.
- W2000740795 cites W2166536772 @default.
- W2000740795 cites W2234302625 @default.
- W2000740795 cites W2571446175 @default.
- W2000740795 cites W3122150532 @default.
- W2000740795 cites W3123321876 @default.
- W2000740795 cites W3123721768 @default.
- W2000740795 cites W3123725294 @default.
- W2000740795 cites W3124198761 @default.
- W2000740795 cites W3125050320 @default.
- W2000740795 doi "https://doi.org/10.2139/ssrn.1458853" @default.
- W2000740795 hasPublicationYear "2009" @default.
- W2000740795 type Work @default.
- W2000740795 sameAs 2000740795 @default.
- W2000740795 citedByCount "1" @default.
- W2000740795 countsByYear W20007407952012 @default.
- W2000740795 crossrefType "journal-article" @default.
- W2000740795 hasAuthorship W2000740795A5021254405 @default.
- W2000740795 hasAuthorship W2000740795A5034954317 @default.
- W2000740795 hasConcept C105795698 @default.
- W2000740795 hasConcept C134306372 @default.
- W2000740795 hasConcept C149782125 @default.
- W2000740795 hasConcept C151376022 @default.
- W2000740795 hasConcept C162324750 @default.
- W2000740795 hasConcept C202444582 @default.
- W2000740795 hasConcept C28826006 @default.
- W2000740795 hasConcept C33923547 @default.
- W2000740795 hasConcept C92757383 @default.
- W2000740795 hasConceptScore W2000740795C105795698 @default.
- W2000740795 hasConceptScore W2000740795C134306372 @default.
- W2000740795 hasConceptScore W2000740795C149782125 @default.
- W2000740795 hasConceptScore W2000740795C151376022 @default.
- W2000740795 hasConceptScore W2000740795C162324750 @default.
- W2000740795 hasConceptScore W2000740795C202444582 @default.
- W2000740795 hasConceptScore W2000740795C28826006 @default.
- W2000740795 hasConceptScore W2000740795C33923547 @default.
- W2000740795 hasConceptScore W2000740795C92757383 @default.
- W2000740795 hasLocation W20007407951 @default.
- W2000740795 hasOpenAccess W2000740795 @default.
- W2000740795 hasPrimaryLocation W20007407951 @default.
- W2000740795 hasRelatedWork W1979258810 @default.
- W2000740795 hasRelatedWork W2021858501 @default.
- W2000740795 hasRelatedWork W2075328869 @default.
- W2000740795 hasRelatedWork W2350790730 @default.
- W2000740795 hasRelatedWork W2536305525 @default.
- W2000740795 hasRelatedWork W2601177627 @default.
- W2000740795 hasRelatedWork W2963286720 @default.
- W2000740795 hasRelatedWork W2963864495 @default.
- W2000740795 hasRelatedWork W3101187060 @default.
- W2000740795 hasRelatedWork W3217323185 @default.
- W2000740795 isParatext "false" @default.
- W2000740795 isRetracted "false" @default.
- W2000740795 magId "2000740795" @default.
- W2000740795 workType "article" @default.