FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2129507758> ?p ?o ?g. }

• W2129507758 abstract "We develop and implement a technique for maximum likelihood estimation in closed-form of multivariate affine yield models of the term structure of interest rates. We derive closed-form approximations to the likelihood functions for all nine of the Dai and Singleton (2000) canonical affine models with one, two, or three underlying factors. Monte Carlo simulations reveal that this technique very accurately approximates true maximum likelihood, which is, in general, infeasible for affine models. We also apply the method to a dataset consisting of synthetic US Treasury strips, and find parameter estimates for nine different affine yield models, each using two different market price of risk specifications. One advantage of maximum likelihood estimation is the ability to compare non-nested models using likelihood ratio tests. We find, using these tests, that the choice of preferred canonical model can depend on the market price of riskspecification. Comparison to other approximation methods, Euler and QML, on both simulated and real data suggest that our approximation technique is much closer to true MLE than alternative methods." @default.
• W2129507758 created "2016-06-24" @default.
• W2129507758 creator A5013111134 @default.
• W2129507758 creator A5036681604 @default.
• W2129507758 date "2009-01-01" @default.
• W2129507758 modified "2023-10-17" @default.
• W2129507758 title "Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions" @default.
• W2129507758 cites W1607623934 @default.
• W2129507758 cites W1830719945 @default.
• W2129507758 cites W1994908910 @default.
• W2129507758 cites W2029587234 @default.
• W2129507758 cites W2044140988 @default.
• W2129507758 cites W2068629725 @default.
• W2129507758 cites W2071291273 @default.
• W2129507758 cites W2076057077 @default.
• W2129507758 cites W2098371868 @default.
• W2129507758 cites W2098754649 @default.
• W2129507758 cites W2132552502 @default.
• W2129507758 cites W2155319227 @default.
• W2129507758 cites W2156618588 @default.
• W2129507758 cites W2159723913 @default.
• W2129507758 cites W2725899140 @default.
• W2129507758 cites W3021444882 @default.
• W2129507758 cites W3099157441 @default.
• W2129507758 cites W3123805721 @default.
• W2129507758 cites W3124491480 @default.
• W2129507758 cites W3125050320 @default.
• W2129507758 cites W3125732291 @default.
• W2129507758 cites W2525046407 @default.
• W2129507758 doi "https://doi.org/10.2139/ssrn.1283741" @default.
• W2129507758 hasPublicationYear "2009" @default.
• W2129507758 type Work @default.
• W2129507758 sameAs 2129507758 @default.
• W2129507758 citedByCount "19" @default.
• W2129507758 countsByYear W21295077582012 @default.
• W2129507758 countsByYear W21295077582013 @default.
• W2129507758 countsByYear W21295077582014 @default.
• W2129507758 crossrefType "journal-article" @default.
• W2129507758 hasAuthorship W2129507758A5013111134 @default.
• W2129507758 hasAuthorship W2129507758A5036681604 @default.
• W2129507758 hasConcept C105795698 @default.
• W2129507758 hasConcept C117354338 @default.
• W2129507758 hasConcept C121332964 @default.
• W2129507758 hasConcept C149782125 @default.
• W2129507758 hasConcept C161584116 @default.
• W2129507758 hasConcept C167928553 @default.
• W2129507758 hasConcept C176230804 @default.
• W2129507758 hasConcept C202444582 @default.
• W2129507758 hasConcept C2779234561 @default.
• W2129507758 hasConcept C28826006 @default.
• W2129507758 hasConcept C33923547 @default.
• W2129507758 hasConcept C40753778 @default.
• W2129507758 hasConcept C49781872 @default.
• W2129507758 hasConcept C54355233 @default.
• W2129507758 hasConcept C61420037 @default.
• W2129507758 hasConcept C61797465 @default.
• W2129507758 hasConcept C62520636 @default.
• W2129507758 hasConcept C86803240 @default.
• W2129507758 hasConcept C89106044 @default.
• W2129507758 hasConcept C92757383 @default.
• W2129507758 hasConceptScore W2129507758C105795698 @default.
• W2129507758 hasConceptScore W2129507758C117354338 @default.
• W2129507758 hasConceptScore W2129507758C121332964 @default.
• W2129507758 hasConceptScore W2129507758C149782125 @default.
• W2129507758 hasConceptScore W2129507758C161584116 @default.
• W2129507758 hasConceptScore W2129507758C167928553 @default.
• W2129507758 hasConceptScore W2129507758C176230804 @default.
• W2129507758 hasConceptScore W2129507758C202444582 @default.
• W2129507758 hasConceptScore W2129507758C2779234561 @default.
• W2129507758 hasConceptScore W2129507758C28826006 @default.
• W2129507758 hasConceptScore W2129507758C33923547 @default.
• W2129507758 hasConceptScore W2129507758C40753778 @default.
• W2129507758 hasConceptScore W2129507758C49781872 @default.
• W2129507758 hasConceptScore W2129507758C54355233 @default.
• W2129507758 hasConceptScore W2129507758C61420037 @default.
• W2129507758 hasConceptScore W2129507758C61797465 @default.
• W2129507758 hasConceptScore W2129507758C62520636 @default.
• W2129507758 hasConceptScore W2129507758C86803240 @default.
• W2129507758 hasConceptScore W2129507758C89106044 @default.
• W2129507758 hasConceptScore W2129507758C92757383 @default.
• W2129507758 hasLocation W21295077581 @default.
• W2129507758 hasOpenAccess W2129507758 @default.
• W2129507758 hasPrimaryLocation W21295077581 @default.
• W2129507758 hasRelatedWork W1981785064 @default.
• W2129507758 hasRelatedWork W1984467702 @default.
• W2129507758 hasRelatedWork W1986555661 @default.
• W2129507758 hasRelatedWork W2068629725 @default.
• W2129507758 hasRelatedWork W2076057077 @default.
• W2129507758 hasRelatedWork W2098754649 @default.
• W2129507758 hasRelatedWork W2103644169 @default.
• W2129507758 hasRelatedWork W2132552502 @default.
• W2129507758 hasRelatedWork W2143792696 @default.
• W2129507758 hasRelatedWork W2159723913 @default.
• W2129507758 hasRelatedWork W2289040383 @default.
• W2129507758 hasRelatedWork W2311412087 @default.
• W2129507758 hasRelatedWork W2482593290 @default.
• W2129507758 hasRelatedWork W2564648869 @default.
• W2129507758 hasRelatedWork W3021444882 @default.
• W2129507758 hasRelatedWork W3121877220 @default.
• W2129507758 hasRelatedWork W3125050320 @default.

• next