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

Saved in:

Authors and Corporations:

Díez de los Ríos, Antonio (Author)

Type of Resource:

E-Book

Language:

English

published:

[Ottawa] Bank of Canada August 2017

Series:

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