TITLE

Assessing robustness of G-ADTSMs

PUB. DATE
August 2012
SOURCE
Bank of England Quarterly Bulletin;2012 3rd Quarter, Vol. 52 Issue 3, p221
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
The article focuses on a research that has led to a drastic reduction in the computational time required for estimating Gaussian affine dynamic term structure models (G-ADTSMs). It mentions that the reserach has made easy to estimate several models with different specifications, sample periods and combinations of surveys and restrictions on risk premia. It further presents a chart that shows greater uncertainty about the decomposition for the first half of the sample.
ACCESSION #
82152843

 

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