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.
Lien permanent pour cette publication :
publications.gc.ca/pub?id=9.842860&sl=1
Ministère/Organisme | Bank of Canada. |
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Titre | Optimal estimation of multi-country Gaussian dynamic term structure models using linear regressions / by Antonio Diez de los Rios. |
Titre de la série | Bank of Canada staff working paper, 1701-9397 ; 2017-3 |
Type de publication | Série - Voir l'enregistrement principal |
Langue | [Anglais] |
Format | Électronique |
Document électronique | |
Note(s) | "July 2017." Includes bibliographical references. Includes abstract in French. |
Information sur la publication | [Ottawa] : Bank of Canada, 2017. |
Auteur / Contributeur | Diez de los Rios, Antonio. |
Description | [45] p. |
Numéro de catalogue |
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Descripteurs | Interest rates |