The SR Approach : A New Estimation Procedure for Non-Linear and Non-Gaussian Dynamic Term Structure Models

This paper suggests a new approach for estimating linear and non-linear dynamic term structure models with latent factors. We impose no distributional assumptions on the factors which therefore may be non-Gaussian. The novelty of our approach is to use many observables (yields or bond prices) in the cross-section dimension. This implies that the latent factors can be determined quite accurately by a sequence of cross-section regressions. We also show how output from these regressions can be used to obtain model parameters by a two- or three-step moment-based estimation procedure

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Year of publication:	2014
Authors:	Andreasen, Martin M.
Other Persons:	Christensen, Bent Jesper (contributor)
Publisher:	[2014]: [S.l.] : SSRN
Subject:	Zinsstruktur \| Yield curve \| Schätztheorie \| Estimation theory \| Momentenmethode \| Method of moments

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