Work

Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions

Year: 2009

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1283741

Authors: Yacine Ait-Sahalia, Robert L. Kimmel

Institution: Princeton University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2129507758

Cites: 22

Cited by: 38

Related to: 10