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The paper presents a regression-based approach for pricing the term structure of interest rates using ordinary least squares, allowing for efficient estimation with multiple pricing factors. The authors demonstrate that their method yields small pricing errors compared to traditional models, both in-sample and out-of-sample. The approach is designed to be computationally fast and does not rely on strict distributional assumptions, making it suitable for real-time analysis.
- Author
- Amin Taheri
- Language
- EN