Econometric and statistical methods
-
-
A New Linear Estimator for Gaussian Dynamic Term Structure Models
This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization. -
Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne
Default rates are series commonly used in stress testing. In Canada, as in many other countries, there are no historical series available for sectoral default rates on bank loans to firms.
- « Previous
- 1
- 2
- 3