An Assessment of Econometric Methods Used in the Estimation of Affine Term Structure Models

Keywords

Term (time), Econometrics, Econometric model, Estimation, Affine transformation

References

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• Evaluating an Alternative Risk Preference in Affine Term Structure ModelsJefferson Duarte — 2004
• Kalman Filtering of Generalized Vasicek Term Structure ModelsSimon H. Babbs, K. Ben Nowman — 1999
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• Impact of climate change on marine pelagic phenology and trophic mismatchMartin Edwards, Anthony J. Richardson — 2004
• A YIELD-FACTOR MODEL OF INTEREST RATESDarrell Duffie, Rui Kan — 1996

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