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Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions
16 references·2 citing·36 second hop
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References

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  • 2003Spectral GMM estimation of continuous-time processes285 cited
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  • 1996Testing term structure estimation methods

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203 cited
  • 1993A Test of the Cox, Ingersoll, and Ross Model of the Term Structure157 cited
  • Cited by

    • 2010Yield Curve and Volatility: Lessons from Eurodollar Futures and Options35 cited
    • 2012Nonlinear Kalman Filtering in Affine Term Structure Models25 cited