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Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions

Antonio Diez de los Rios ()

Staff Working Papers from Bank of Canada

Abstract: 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.

Keywords: Asset pricing; Econometric and statistical methods; Exchange rates; Interest rates (search for similar items in EconPapers)
JEL-codes: E43 F31 G12 G15 (search for similar items in EconPapers)
Pages: 45 pages
Date: 2017
New Economics Papers: this item is included in nep-ecm, nep-mac and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:17-33

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