This book has been prepared during my work as a research assistant at the Institute for Statistics and Econometrics of the Economics Department at the Universit

We show how to estimate affine term structure models from a panel of noisy bond yields using simulated maximum likelihood based on importance sampling. We appro

"This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotical

We develop a Gaussian discrete time essentially affine term structure model with long memory state variables. This feature reconciles the strong persistence obs