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Estimating the long rate and its volatility

Tijdschriftbijdrage - Tijdschriftartikel

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).
Tijdschrift: Economics Letters
ISSN: 0165-1765
Volume: 129
Pagina's: 100 - 102
Jaar van publicatie:2015