E43 - Interest Rates: Determination, Term Structure, and Effects - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T13:16:52+00:00A New Linear Estimator for Gaussian Dynamic Term Structure Models
https://www.bankofcanada.ca/2013/04/working-paper-2013-10/
This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization.2013-04-22T13:58:06+00:00enA New Linear Estimator for Gaussian Dynamic Term Structure Models2013-04-22Asset pricingEconometric and statistical methodsInterest ratesWorking Paper 2013-10https://www.bankofcanada.ca/wp-content/uploads/2013/04/wp2013-10.pdfA New Linear Estimator for Gaussian Dynamic Term Structure ModelsAntonio Diez de los RiosApril 2013CC1C13EE4E43GG1G12