Publication

Estimating the long rate and its volatility

Journal Contribution - Journal Article

We estimate the long rate and its volatility within the Svensson framework. The procedure that best extrapolates the longest observable rate and its volatility is a 2-dimensional grid search conditioned on the ridge regression suggested by Annaert et al. (2013).

Journal: Economics letters

ISSN: 0165-1765

Volume: 129

Pages: 100 - 102

Publication year:2015

Keywords:A1 Journal article

DOI: https://doi.org/10.1016/j.econlet.2015.02.022
Handle: https://hdl.handle.net/10067/1236220151162165141
WoS Id: 000352673100025

BOF-keylabel:yes

BOF-publication weight:0.5

CSS-citation score:1

Authors from:Higher Education

Accessibility:Open

Publication

Estimating the long rate and its volatility

Journal Contribution - Journal Article

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