A New Linear Estimator for Gaussian Dynamic Term Structure Models

Antonio Diez de los Rios

Journal of Business & Economic Statistics, 2015, vol. 33, issue 2, 282-295

Abstract: This article proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models. This new estimator is an asymptotic least-square estimator defined by the no-arbitrage conditions upon which these models are built. Further, we note that our estimator remains easy-to-compute and asymptotically efficient in a variety of situations in which other recently proposed approaches might lose their tractability. We provide an empirical application in the context of the Canadian bond market.

Date: 2015
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Working Paper: A New Linear Estimator for Gaussian Dynamic Term Structure Models (2013)
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DOI: 10.1080/07350015.2014.948176

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