Summary: Author's personal copy
Estimating affine multifactor term structure models using
closed-form likelihood expansions$
Yacine Ai¨t-Sahalia a,Ã, Robert L. Kimmel b
a
Department of Economics, Princeton University and NBER, Princeton, NJ 08544-1021, USA
b
EDHEC Business School, 393, Promenade des Anglais BP3116 06202 Nice cedex 3, France
a r t i c l e i n f o
Article history:
Received 10 December 2008
Received in revised form
15 May 2009
Accepted 17 July 2009
Available online 31 May 2010
JEL classification:
C51
C52
G12
Keywords:

Source: Aït-Sahalia, Yacine - Program in Applied and Comptutational Mathematics & Department of Economics, Princeton University

Collections: Mathematics