Estimation of Dynamic Term Structure Models

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Subfields: Finance

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The Signaling Channel for Federal Reserve Bond Purchases (2013, unknown): “(3)Among many others, see D’Amico and King (forthcoming), Gagnon et al. (2011), Hamilton and Wu (2012a), Krishnamurthy and Vissing-Jorgensen (2011), Neely (2012), and Woodford (2012).”
Term Structure Estimation with Survey Data on Interest Rate Forecasts (2005, methodology): “…from nonstationary models even at such long horizons.10 This model can be estimated with the Kalman-filter-based maximum-likelihood method (e.g., de Jong (2000), Duffee and Stanton (2004), Kim (2005)) or with the maximum likelihood method used by Duffee (2002) and Dai and Singleton (2002).”
Hedging (Co)Variance Risk with Variance Swaps (2011, unknown): “From the estimation point of view, we chose the (linearized) Kalman filtering estimation strategy as in Duffee and Stanton (2004) and Leippold et al.”
Estimating affine multifactor term structure models using closed-form likelihood expansions (2010, unknown): “…flexible, requiring the a priori selection of an auxiliary model and resulting moment conditions, little is known about its behavior in repeated simulation trials, although it has been shown to perform poorly at least in the context of dynamic term structure models (see Duffee and Stanton (2001)).”