Arbeitspapier
A new linear estimator for Gaussian dynamic term structure models
This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization. This new estimator is an asymptotic least squares estimator defined by the no-arbitrage conditions upon which these models are built. We discuss some efficiency considerations of this estimator, and show that it is asymptotically equivalent to maximum likelihood estimation. Further, we note that our estimator remains easy-to-compute and asymptotically efficient in a variety of situations in which other recently proposed approaches lose their tractability. We provide an empirical application in the context of the Canadian bond market.
- Language
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Englisch
- Bibliographic citation
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Series: Bank of Canada Working Paper ; No. 2013-10
- Classification
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Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Estimation: General
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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Asset pricing
Econometric and statistical methods
Interest rates
- Event
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Geistige Schöpfung
- (who)
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Diez de los Rios, Antonio
- Event
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Veröffentlichung
- (who)
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Bank of Canada
- (where)
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Ottawa
- (when)
-
2013
- DOI
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doi:10.34989/swp-2013-10
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Diez de los Rios, Antonio
- Bank of Canada
Time of origin
- 2013
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