Optimal estimation of multi-country Gaussian dynamic term structure models using linear regressions: FB3-5/2017-33E-PDF
"This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large - a situation in which other recently proposed approaches lose their tractability. We illustrate our estimator within the context of a seven-country, 10-factor term structure model."--Abstract, p. ii.
|Department/Agency||Bank of Canada.|
|Title||Optimal estimation of multi-country Gaussian dynamic term structure models using linear regressions|
|Series Title||Bank of Canada staff working paper,|
|Publication Type||Series - View Master Record|
|Electronic Document|| |
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|Number of Pages|| p.|
|Subject Terms||Interest rates|
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