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.

MoreLess

Year of publication:	2017
Authors:	Díez de los Ríos, Antonio
Publisher:	Ottawa : Bank of Canada
Subject:	Asset pricing \| Econometric and statistical methods \| Exchange rates \| Interest rates

freely available

Full text |

More access options

doi.org

Check Google Scholar

In German libraries (KVK)

I need help

More details

Series:	Bank of Canada Staff Working Paper ; 2017-33
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.34989/swp-2017-33 [DOI] 1011047934 [GVK] hdl:10419/197840 [Handle] RePEc:bca:bocawp:17-33 [RePEc]
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; F31 - Foreign Exchange ; G12 - Asset Pricing ; G15 - International Financial Markets
Source:	EconStor

Persistent link: https://www.econbiz.de/10012014442