Term Structure Models

By V. Lapshin. 2009

148 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/1e94b1d215204a311556e3225d9a01a587912363

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In Finance

1. G. Duffee
2. J. Wu
3. Jens H. E. Christensen
4. Kenneth J. Singleton
5. James D. Hamilton
6. Qiang Dai
7. Glenn D. Rudebusch
8. Jessica A. Wachter

Citations in the corpus

• Information in (and not in) the Term Structure (2011, background): “Equation (13) implies that maximum likelihood estimation of affine term structure models requires only a panel of n yields and the density function of the state vector.1 In fact, Piazzesi (2009) defines likelihood-based estimation of affine models in terms of (13).”