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- W2891660064 abstract "We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned stochastic volatility. Our approach uses linear regression to reduce the dimension of the numerical optimization problem yet it produces the same estimator as maximizing the likelihood. It improves the numerical behavior of estimation by eliminating parameters from the objective function that cause problems for conventional methods. We find that spanned models capture the cross-section of yields well but not volatility while unspanned models fit volatility at the expense of fitting the cross-section." @default.
- W2891660064 created "2018-09-27" @default.
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- W2891660064 date "2014-05-01" @default.
- W2891660064 modified "2023-09-23" @default.
- W2891660064 title "Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility" @default.
- W2891660064 doi "https://doi.org/10.3386/w20115" @default.
- W2891660064 hasPublicationYear "2014" @default.
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