Estimating affine multifactor term structure models using closed-form likelihood expansions

By Yacine Aït-Sahalia, Robert L. Kimmel. 2010

144 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/9f838176a000973f4c01427192726eab321859d0

Citations in the corpus

• The Term Structure of Inflation Expectations (2012, unknown): “1Other important estimation strategies applied to term structure models include, but are not limited to, the exact inversion likelihood of Chen and Scott (1993), the closed-form approximate likelihood of Aı̈t-Sahalia and Kimmel (2010), the simulated maximum likelihood of Brandt and He (2006), and th”
• Simulation-Based Estimation of Contingent-Claims Prices (2009, unknown): “More generally, the MLE of the parameters in the multifactor affine asset pricing models of Duffie and Kan (1996) may be biased ( Ait-Sahalia and Kimmel 2005 ) and the bias can be expected to translate to prices of contingent claims.”
• Hermite Polynomial Based Expansion of European Option Prices (2014, unknown): “Related work also includes Aït-Sahalia and Kimmel (2010, 2007), Bakshi and Ju (2005), and Bakshi et al. (2006).”
• Resolution of Policy Uncertainty and Sudden Declines in Volatility (2017, unknown): “These conditions are similar to those in Aït-Sahalia and Kimmel (2010) when jumps are absent and the entire model is affine.”
• Maximum-likelihood estimation for diffusion processes via closed-form density expansions (2013, unknown): “and Mykland [7, 8], Aı̈t-Sahalia and Kimmel [5, 6], Li [45], Egorov, Li and Xu [26], Schaumburg [58], Aı̈t-Sahalia and Yu [9], Yu [72], Filipović, Mayerhofer and Schneider [31], Tang and Chen [61], Xiu [66] and Chang and Chen [22].”
• Affine Term Structure Models (2010, unknown): “which differs from (5) because of the variance term.”