Annaert, Jan; Claes, Anouk G.P.; Ceuster, Marc J.K. De; … - In: Economics Letters 129 (2015) C, pp. 100-102
We estimate the long rate and its volatility within the Svensson framework. The procedure that best extrapolates the longest observable rate and its volatility is a 2-dimensional grid search conditioned on the ridge regression suggested by Annaert et al. (2013).
