Golinski, Adam orcid.org/0000-0001-8603-1171 and Spencer, Peter orcid.org/0000-0002-5595-5360 (2021) Estimating the term structure with linear regressions: Getting to the roots of the problem. Journal of Financial Econometrics. pp. 960-984. ISSN 1479-8409
Abstract
Linear estimators of the affine term structure model are inconsistent since they cannot reproduce the factors used in estimation. This is a serious handicap empirically, giving a worse fit than the conventional MLE estimator that ensures consistency. We show that a simple self-consistent estimator can be constructed using the eigenvalue decomposition of a regression estimator. The remaining parameters of the model follow analytically. The fit of this model is virtually indistinguishable from that of the MLE. We apply the method to estimate the model of the U.S. Treasury yields and a joint model of the U.S. and German yield curves.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © The Author(s) 2019. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details. |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Depositing User: | Pure (York) |
Date Deposited: | 22 Mar 2024 12:20 |
Last Modified: | 11 Mar 2025 00:10 |
Published Version: | https://doi.org/10.1093/jjfinec/nbz031 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1093/jjfinec/nbz031 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:120627 |