00000nam 2200000za 4500 9.842860 CaOODSP 20221107152419 cr ||||||||||| 170831s2017 oncd ob f000 0 eng d CaOODSP eng eng fre n-cn--- FB3-5/2017-33E-PDF Diez de los Rios, Antonio. Optimal estimation of multi-country Gaussian dynamic term structure models using linear regressions [electronic resource] / by Antonio Diez de los Rios. [Ottawa] : Bank of Canada, 2017. [45] p. Bank of Canada staff working paper, 1701-9397 ; 2017-3 "July 2017." Includes bibliographical references. "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. Includes abstract in French. gccst Interest rates Bank of Canada. Staff working paper (Bank of Canada) 1701-9397 ; 2017-33 (CaOODSP)9.806221 PDF 1.49 MB https://publications.gc.ca/collections/collection_2017/banque-bank-canada/FB3-5-2017-33-eng.pdf