Golinski, Adam orcid.org/0000-0001-8603-1171 and Zaffaroni, Paolo (2016) Long Memory Affine Term Structure Models. Journal of Econometrics. pp. 33-56. ISSN 0304-4076
Abstract
We develop a Gaussian discrete time essentially affine term structure model with long memory state variables. This feature reconciles the strong persistence observed in nominal yields and inflation with the theoretical implications of affine models, especially for long maturities. We characterize in closed-form the dynamic and cross-sectional implications of long memory for our model. We explain how long memory can naturally arise within the term structure of interest rates, providing a theoretical underpinning for our model. Despite the infinite-dimensional structure that long memory implies, we show how to cast the model in state space and estimate it by maximum likelihood. An empirical application of our model is presented.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2015 Elsevier B.V. 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 |
Keywords: | C32,C58,JEL classification G12 |
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: | 05 May 2016 14:30 |
Last Modified: | 08 Feb 2025 00:15 |
Published Version: | https://doi.org/10.1016/j.jeconom.2015.09.006 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1016/j.jeconom.2015.09.006 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:99262 |