Optimal estimation of multi-country Gaussian dynamic term structure models using linear regressions

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Bibliographic Details
Authors and Corporations:	Díez de los Ríos, Antonio (Author)
Type of Resource:	E-Book
Language:	English
published:	[Ottawa] Bank of Canada August 2017
Series:	Bank of Canada: Staff working paper ; 2017, 33
Subjects:	Asset pricing Econometric and statistical methods Exchange rates Interest rates Graue Literatur
Source:	Verbunddaten SWB Lizenzfreie Online-Ressourcen
Notes:	Zusammenfassung in französischer Sprache

Description
Summary:	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.
Physical Description:	1 Online-Ressource (circa 45 Seiten); Illustrationen
Notes:	Zusammenfassung in französischer Sprache