Arbeitspapier
Optimal estimation of multi-country Gaussian dynamic term structure models using linear regressions
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Bank of Canada Staff Working Paper ; No. 2017-33
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Foreign Exchange
Asset Pricing; Trading Volume; Bond Interest Rates
International Financial Markets
- Thema
-
Asset pricing
Econometric and statistical methods
Exchange rates
Interest rates
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Díez de los Ríos, Antonio
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Canada
- (wo)
-
Ottawa
- (wann)
-
2017
- DOI
-
doi:10.34989/swp-2017-33
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Díez de los Ríos, Antonio
- Bank of Canada
Entstanden
- 2017
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