Aït-Sahalia, Yacine; Kimmel, Robert L. - In: Journal of Financial Economics 98 (2010) 1, pp. 113-144
We develop and implement a technique for closed-form maximum likelihood estimation (MLE) of multifactor affine yield models. We derive closed-form approximations to likelihoods for nine Dai and Singleton (2000) affine models. Simulations show our technique very accurately approximates true (but...