Estimating the long rate and its volatility

Jan Annaert, Anouk G.P. Claes, Marc J.K. De Ceuster and Hairui Zhang

Economics Letters, 2015, vol. 129, issue C, 100-102

Abstract: 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).

Keywords: Long rate; Nelson–Siegel model; Svensson model; Ridge regression (search for similar items in EconPapers)
JEL-codes: C13 E47 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:129:y:2015:i:c:p:100-102

DOI: 10.1016/j.econlet.2015.02.022

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