Optimal Estimation of Multi-country Gaussian Dynamic Term Structure Models Using Linear Regressions
Author | : Antonio Diez de los Rios |
Publisher | : |
Total Pages | : 32 |
Release | : 2017 |
ISBN-10 | : OCLC:1002178741 |
ISBN-13 | : |
Rating | : 4/5 (41 Downloads) |
Download or read book Optimal Estimation of Multi-country Gaussian Dynamic Term Structure Models Using Linear Regressions written by Antonio Diez de los Rios and published by . This book was released on 2017 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: "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.