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Elsevier, Journal of Econometrics, 2(184), p. 420-451, 2015

DOI: 10.1016/j.jeconom.2014.10.002

SSRN Electronic Journal

DOI: 10.2139/ssrn.1566829

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The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models

Journal article published in 2015 by Martin M. Andreasen, Bent Jesper Christensen ORCID
This paper was not found in any repository, but could be made available legally by the author.
This paper was not found in any repository, but could be made available legally by the author.

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Abstract

This paper suggests a new and easy approach to estimate linear and non-linear dynamic term structure models with latent factors. We impose no distributional assumptions on the factors and they may therefore be non-Gaussian. The novelty of our approach is to use many observables (yields or bonds prices) in the cross-section dimension. An important bene…t of using many observables in each time period is that the latent factors can be estimated quite accurately using standard regressions, and that parameters can be estimated by standard moment matching methods.