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• W3123890123 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.
• W3123890123 created "2021-02-01" @default.
• W3123890123 creator A5023757993 @default.
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• W3123890123 date "2015-03-01" @default.
• W3123890123 modified "2023-10-14" @default.
• W3123890123 title "Estimation of affine term structure models with spanned or unspanned stochastic volatility" @default.
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• W3123890123 doi "https://doi.org/10.1016/j.jeconom.2014.10.003" @default.
• W3123890123 hasPublicationYear "2015" @default.
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