An Assessment of Econometric Methods Used in the Estimation of Affine Term Structure Models
The first essay empirically evaluates recently developed techniques that have been proposed to improve the estimation of affine term structure models. The evaluation presented here is performed on two dimensions. On the first dimension, I find that invariant transformations and rotations can be used...
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| Language: | en |
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The University of Arizona.
2010
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| Online Access: | http://hdl.handle.net/10150/193599 |