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| Posted: 09 Aug 2015 05:36 PM PDT 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 moments, combined with Quasi-Bayesian methods, is used to get reliable parameter estimates and to perform... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: Thinking About Pensions, Part 1 Posted: 08 Aug 2015 10:39 PM PDT Photo Credit: Simon Cunninghamread more... Visit MoneyScience for the Complete Article.    |
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