Title
Estimating the long rate and its volatility Estimating the long rate and its volatility
Author
Faculty/Department
Faculty of Applied Economics
Publication type
article
Publication
Amsterdam ,
Subject
Economics
Source (journal)
Economics letters. - Amsterdam
Volume/pages
129(2015) , p. 100-102
ISSN
0165-1765
ISI
000352673100025
Carrier
E
Target language
English (eng)
Full text (Publishers DOI)
Affiliation
University of Antwerp
Abstract
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).
E-info
https://repository.uantwerpen.be/docman/iruaauth/afc928/119564aecb4.pdf
Full text (open access)
https://repository.uantwerpen.be/docman/irua/8ebd7c/9543.pdf
E-info
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Handle