The paper is first to study the identification and estimation of Gaussian affine term structure of interest rate based on Minimum-Chi-Square method. As beginning with the normalized Gaussian model, the identification is from the functional relations of parameters between the structure model and reduced-form model, Minimum-Chi-Square estimation has inherited all the asymptotical properties of MLE in structure model and maintains the reliability of estimator. And then, With the term structure of yields implying in monthly bonds price from 2006 to 2013 in Shanghai Stock Exchange (SSE), Gaussian affine term structure model is empirically applied using the MCS method and the results indicate that the Gaussian affine model gives good fitting of term structure and the merits of the statistical properties of estimators are consistent with structure and reduced-form model.
BAO Jie, GE Jing
. Gaussian Affine Term Structure Model of Interest Rate Based on MCS Approach[J]. Chinese Journal of Management Science, 2015
, 23(7)
: 10
-17
.
DOI: 10.16381/j.cnki.issn1003-207x.2015.07.002
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