کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5095814 1376485 2015 71 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models
چکیده انگلیسی
This paper suggests a new approach for estimating linear and non-linear dynamic term structure models with latent factors. We impose no distributional assumptions on the factors which therefore may be non-Gaussian. The novelty of our approach is to use many observables (yields or bond prices) in the cross-section dimension. This implies that the latent factors can be determined quite accurately by a sequence of cross-section regressions. We also show how output from these regressions can be used to obtain model parameters by a two- or three-step moment-based estimation procedure.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 184, Issue 2, February 2015, Pages 420-451
نویسندگان
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