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| 01518nam 2200289za 4500 |
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| 001 | 9.842860 |
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| 003 | CaOODSP |
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| 005 | 20221107152419 |
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| 007 | cr ||||||||||| |
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| 008 | 170831s2017 oncd ob f000 0 eng d |
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| 040 | |aCaOODSP|beng |
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| 041 | |aeng|bfre |
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| 043 | |an-cn--- |
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| 086 | 1 |aFB3-5/2017-33E-PDF |
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| 100 | 1 |aDiez de los Rios, Antonio. |
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| 245 | 10|aOptimal estimation of multi-country Gaussian dynamic term structure models using linear regressions |h[electronic resource] / |cby Antonio Diez de los Rios. |
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| 260 | |a[Ottawa] : |bBank of Canada, |c2017. |
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| 300 | |a[45] p. |
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| 490 | 1 |aBank of Canada staff working paper, |x1701-9397 ; |v2017-3 |
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| 500 | |a"July 2017." |
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| 504 | |aIncludes bibliographical references. |
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| 520 | |a"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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| 546 | |aIncludes abstract in French. |
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| 692 | 07|2gccst|aInterest rates |
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| 710 | 2 |aBank of Canada. |
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| 830 | #0|aStaff working paper (Bank of Canada)|x1701-9397 ; |v2017-33|w(CaOODSP)9.806221 |
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| 856 | 40|qPDF|s1.49 MB|uhttps://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-33-eng.pdf |
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