Showing 1 - 3 of 3
Persistent link: https://www.econbiz.de/10010461168
Persistent link: https://www.econbiz.de/10011760724
This paper assesses the effects of autocorrelation on parameter estimates of affine term structure models (ATSM) when principal components analysis is used to extract factors. In contrast to recent studies, we design and run a Monte Carlo experiment that relies on the construction of a...
Persistent link: https://www.econbiz.de/10010777017