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

Yacine Aït-Sahalia, Robert Kimmel

NBER Technical Working Paper No. 286
Issued in December 2002

---- Acknowledgements -----

Financial support from the NSF under grants SES-0111140 and SES-0350772 is gratefully acknowledged. We would like to thank Robert Bliss and Greg Duffee for the dataset used in this paper. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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