Optimal estimation of multi-country Gaussian dynamic term structure models using linear regressions / by Antonio Diez de los Rios.: 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.
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| Department/Agency | Bank of Canada. |
|---|---|
| Title | Optimal estimation of multi-country Gaussian dynamic term structure models using linear regressions / by Antonio Diez de los Rios. |
| Series title | Bank of Canada staff working paper, 1701-9397 ; 2017-3 |
| Publication type | Series - View Master Record |
| Language | [English] |
| Format | Electronic |
| Electronic document | |
| Note(s) | "July 2017." Includes bibliographical references. Includes abstract in French. |
| Publishing information | [Ottawa] : Bank of Canada, 2017. |
| Author / Contributor | Diez de los Rios, Antonio. |
| Description | [45] p. |
| Catalogue number |
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| Subject terms | Interest rates |