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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