The SR approach: A new estimation procedure for non-linear and non-Gaussian dynamic term structure models
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DOI: 10.1016/j.jeconom.2014.10.002
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Citations
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Cited by:
- Andreasen, Martin M & Meldrum, Andrew, 2015. "Dynamic term structure models: the best way to enforce the zero lower bound in the United States," Bank of England working papers 550, Bank of England.
- Martin M. Andreasen & Jens H.E. Christensen & Glenn D. Rudebusch, 1809.
"Term Structure Analysis with Big Data,"
CREATES Research Papers
2017-31, Department of Economics and Business Economics, Aarhus University.
- Andreasen, Martin M. & Christensen, Jens H. E. & Rudebusch, Glenn D., 2017. "Term Structure Analysis with Big Data," Working Paper Series 2017-21, Federal Reserve Bank of San Francisco.
- Andreasen, Martin M & Meldrum, Andrew, 2015. "Market beliefs about the UK monetary policy life-off horizon: a no-arbitrage shadow rate term structure model approach," Bank of England working papers 541, Bank of England.
- Martin M. Andreasen & Tom Engsted & Stig V. Møller & Magnus Sander, 2016. "Bond Market Asymmetries across Recessions and Expansions: New Evidence on Risk Premia," CREATES Research Papers 2016-26, Department of Economics and Business Economics, Aarhus University.
- Malik, Sheheryar & Meldrum, Andrew, 2016.
"Evaluating the robustness of UK term structure decompositions using linear regression methods,"
Journal of Banking & Finance,
Elsevier, vol. 67(C), pages 85-102.
- Malik, Sheheryar & Meldrum, Andrew, 2014. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Bank of England working papers 518, Bank of England.
- Nyholm, Ken, 2016. "US-euro area term structure spillovers, implications for central banks," Working Paper Series 1980, European Central Bank.
More about this item
Keywords
Bond data; GMM; Non-linear filtering; Non-linear least squares; SMM;JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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