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

DOI10.1016/j.jeconom.2014.10.002zbMath1331.91198OpenAlexW3121199830MaRDI QIDQ2343755

Martin Møller Andreasen, Bent Jesper Christensen

Publication date: 6 May 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/109544968/The_SR_Approach_A_New_Estimation_Method_for_Non_Linear_and_Non_Gaussian_Dynamic_Term_Structure_Models_postprint_2014.pdf

zbMATH Keywords

SMMnonlinear filteringGMMnonlinear least squaresbond data

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) General nonlinear regression (62J02)

Related Items (2)

Estimating dynamic equilibrium models using mixed frequency macro and financial data ⋮ Term structure analysis with big data: one-step estimation using bond prices

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