This article investigates parameter estimation of affine term structure models by means of the generalized method of moments. Exact moments of the affine latent process as well as of the yields are obtained by using results derived for p-polynomial processes. Then the generalized method of...

This article investigates parameter estimation of affine term structure models by means of the generalized method of moments. Exact moments of the affine latent process as well as of the yields are obtained by using results derived for p-polynomial processes. Then the generalized method of...

This article investigates problems arising with near unit root behavior and different market micro-structure noise assumptions for affine term structure models. We show that with increasing serial correlation the Fisher information matrix approaches a singularity, such that the standard...

We study dynamic panel data models where the long run outcome for a particular cross-section is affected by a weighted average of the outcomes in the other cross-sections. We show that imposing such a structure implies several cointegrating relationships that are nonlinear in the coefficients to...

This paper provides an econometric analysis of parameter estimation for continuous-time affine term structure models that are driven by latent diffusions. Simulating an affine two factor short rate model where one process is Gaussian and the other factor is square root we perform a comparison...