Empirical performance of Gaussian affine dynamic term structure models in the presence of autocorrelation misspecification bias
Januj Juneja
| Year of publication: |
April 2018
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| Authors: | Juneja, Januj |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 50.2018, 3, p. 695-715
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| Subject: | Autocorrelation misspecification | Dynamic term structure model | Estimation bias | Model performance | Zinsstruktur | Yield curve | Schätztheorie | Estimation theory | Autokorrelation | Autocorrelation | Systematischer Fehler | Bias | Momentenmethode | Method of moments |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-017-0643-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011979271