Estimating Multivariate Exponentail-Affine Term Structure Models from Coupon Bound Prices using Nonlinear Filtering

An econometric analysis of continuous-time models of the term structure of interest rates is presented. A panel of coupon bond prices with different maturities is used to estimate the embedded parameters of a continuous-discrete state space model of unobserved state variables: the spot interest rate, the central tendency and stochastic volatility. Emphasis is placed on the particular class of exponential-affine term structure models that permits solving the bond pricing PDE in terms of a system of ODEs. It is assumed that coupon bond prices are contaminated by additive white noise, where the stochastic noise term should account for model errors. A nonlinear filtering method is used to compute estimates of the state variables, and the model parameters are estimated by a quasimaximum likelihood method provided that some assumptions are imposed on the model residuals. Both Monte Carlo simulation results and empirical results based on the Danish bond market are presented

Widening social inequality in life expectancy in Denmark. A register-based study on social composition and mortality trends for the Danish population

BACKGROUND: Dynamics of the social composition of the population might influence the interpretation of statements of the increasing gap of social inequality in life expectancy. The aim of the study was to estimate trends during a quarter of a century in social inequality in life expectancy and to compare results based on different social stratifications. METHODS: Life tables by sex and various levels of education and income were constructed for each year in the period 1987–2011 by linking individual data from nationwide registers comprising information on all Danish citizens on date of birth, date of death, education and income. Trends in life expectancies were compared for different categories of social grouping of the population. RESULTS: When categories of educational level were kept fixed, implying a decreasing proportion of persons with a short education, the educational inequality in life expectancy increased. Thus, the difference in life expectancy at age 30 between men with primary or lower secondary education and men with tertiary education increased from 4.8 years in 1987 to 6.4 years in 2011. For women the difference increased from 3.7 years in 1987 to 4.7 in 2011. A similar growing social disparity was observed when educational level was based on quartiles established from prescribed length of education. A considerable increasing inequality was reached for men when the population was divided in quartiles of equivalent disposable income, whereas the change was only modest for women. CONCLUSIONS: During the past 25 years, the social gap in life expectancy has widened in Denmark. This conclusion could not be explained by changes of the social compositions of the population