Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/197840
Authors: 
Díez de los Ríos, Antonio
Year of Publication: 
2017
Series/Report no.: 
Bank of Canada Staff Working Paper 2017-33
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.
Subjects: 
Asset pricing
Econometric and statistical methods
Exchange rates
Interest rates
JEL: 
E43
F31
G12
G15
Document Type: 
Working Paper
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